Estimating And Interpreting The Yield Curve
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Estimating And Interpreting The Yield Curve
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Author : Nicola Anderson
language : en
Publisher:
Release Date : 1996-06-04
Estimating And Interpreting The Yield Curve written by Nicola Anderson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-06-04 with Business & Economics categories.
A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.
Estimating And Interpreting The Yield Curve
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Author :
language : en
Publisher:
Release Date : 1996
Estimating And Interpreting The Yield Curve written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Bonds categories.
Analysing And Interpreting The Yield Curve
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Author : Moorad Choudhry
language : en
Publisher: John Wiley & Sons
Release Date : 2019-04-15
Analysing And Interpreting The Yield Curve written by Moorad Choudhry and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-04-15 with Business & Economics categories.
Understand and interpret the global debt capital markets Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely predict the shape and direction of the curve permits practitioners to consistently outperform the market. Analysing and Interpreting the Yield Curve, 2nd Edition describes what the yield curve is, explains what it tells participants, outlines the significance of certain shapes that the curve assumes and, most importantly, demonstrates what factors drive it and how it is modelled and used. Covers the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve models Gets you up to speed on the secured curve Describes application of theoretical versus market curve relative value trading Explains the concept of the risk-free rate Accessible demonstration of curve interpolation best-practice using cubic spline, Nelson-Siegel and Svensson 94 models This advanced text is essential reading for traders, asset managers, bankers and financial analysts, as well as graduate students in banking and finance.
Estimating And Interpreting Forward Interest Rates
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Author : Mr.Lars E. O. Svensson
language : en
Publisher: International Monetary Fund
Release Date : 1994-09-01
Estimating And Interpreting Forward Interest Rates written by Mr.Lars E. O. Svensson and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-09-01 with Business & Economics categories.
The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden 1992-1994 as an example. The forward rates are interpreted as indicating market expectations of the time-path of future interest rates, future inflation rates, and future currency depreciation rates. They separate market expectations for the short-, medium-, and long-term more easily than the standard yield curve. Forward rates are estimated with an extended and more flexible version of Nelson and Siegel’s functional form.
Advanced Fixed Income Analysis
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Author : Moorad Choudhry
language : en
Publisher: Elsevier
Release Date : 2015-08-28
Advanced Fixed Income Analysis written by Moorad Choudhry and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-28 with Business & Economics categories.
Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry’s method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the financial markets, not mathematics, and he provides few derivations and fewer proofs. He draws on both his personal experience as well as his own research to bring together subjects of practical importance to bond market investors and analysts. Presents practitioner-level theories and applications, never available in textbooks Focuses on financial markets, not mathematics Covers relative value investing, returns analysis, and risk estimation
Bond And Money Markets
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Author : Moorad Choudhry
language : en
Publisher: Butterworth-Heinemann
Release Date : 2003-07-04
Bond And Money Markets written by Moorad Choudhry and has been published by Butterworth-Heinemann this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-07-04 with Business & Economics categories.
The Bond and Money Markets is an invaluable reference to all aspects of fixed income markets and instruments. It is highly regarded as an introduction and an advanced text for professionals and graduate students. Features comprehensive coverage of: * Government and Corporate bonds, Eurobonds, callable bonds, convertibles * Asset-backed bonds including mortgages and CDOs * Derivative instruments including futures, swaps, options, structured products * Interest-rate risk, duration analysis, convexity, and the convexity bias * The money markets, repo markets, basis trading, and asset/liability management * Term structure models, estimating and interpreting the yield curve * Portfolio management and strategies,total return framework, constructing bond indices * A stand alone reference book on interest rate swaps, the money markets, financial market mathematics, interest-rate futures and technical analysis * Includes introductory coverage of very specialised topics (for which one previously required several texts) such as VaR, Asset & liability management and credit derivatives * Combines accessible style with advanced level topics
Capital Market Instruments
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Author : M. Choudhry
language : en
Publisher: Springer
Release Date : 2009-11-27
Capital Market Instruments written by M. Choudhry and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-11-27 with Business & Economics categories.
Revised and updated guide to some of the most important issues in the capital markets today, with an emphasis on fixed-income instruments. Fundamental concepts in equity market analysis, foreign exchange and money markets are also covered to provide a comprehensive overview. Analysis and valuation techniques are given for practical application.
Gilt Edged Market
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Author : Moorad Choudhry
language : en
Publisher: Elsevier
Release Date : 2003-05-01
Gilt Edged Market written by Moorad Choudhry and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-05-01 with Business & Economics categories.
The Gilt-Edged Market is specifically aimed at finance professionals and investors who need to understand the inner working of the United Kingdom gilt market. There is detailed coverage of the different gilt instruments, as well as a look at the structures, institutions and practices of the market itself. Topics include: * Bond basics * Conventional gilts * Index-linked gilts * Gilt strips * The gilt repo market * The gilt bond future basis * Yield spread trading using gilts There are also personal reminiscenes that illustrate the great changes that have occurred in this market since Big Bang, as well as an exposition on the art of trading. The Gilt-Edged Market is ideal reading for traders, salespersons, fund managers, private investors and other professionals involved to any extent in the UK gilt market. * The latest research on index-linked gilts, gilt markets and sterling debt markets presented in an enthusiastic, readable style * Written by gilt-edged market makers and dealers to ensure realistic, practical coverage as well as a clear explanation of the theory, so readers gain from years' experience * Foreword written by Mike Williams, CEO of the Debt Management Office
Yield Curve Modeling
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Author : Y. Stander
language : en
Publisher: Springer
Release Date : 2005-06-23
Yield Curve Modeling written by Y. Stander and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-06-23 with Business & Economics categories.
This book will give the reader insight into how to model yield curves in our incomplete and imperfect financial markets. An extensive list of yield curve models are shown and discussed. Using actual market instruments, these models are then applied and the different yield curves are compared. It is assumed that the reader has a basic understanding of the financial instruments available in the market. Various issues that have to be taken into account in practice are discussed, like daycount conventions, business-day rules, the credit quality of the instrument and liquidity to name but a few. It is also shown how yield curves can be used to estimate credit spreads and country risk premiums. Creating a yield curve model has some implications in risk management. Specifically - the model, operational, liquidity and basis risks are discussed.
Bond Pricing And Yield Curve Modeling
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Author : Riccardo Rebonato
language : en
Publisher:
Release Date : 2018-06-07
Bond Pricing And Yield Curve Modeling written by Riccardo Rebonato and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-06-07 with Business & Economics categories.
Rebonato provides an authoritative, clear, and up-to-date explanation of the cutting-edge innovations in affine modeling for government bonds, and provides readers with the precise tools to develop their own models. This book combines precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.