Bond Pricing and Yield Curve Modeling: A Structural Approach

by Riccardo Rebonato

In this book, well-known expert Riccardo Rebonato provides the theoretical foundations (no-arbitrage, convexity, expectations, risk premia) needed for the affine modeling of the government bond markets. He presents and critically discusses the wealth of empirical findings that have appeared in the literature of the last decade, and introduces the 'structural' models that are used by central banks, institutional investors, sovereign wealth funds, academics,...

• Format: Hardcover
• Language: English
• ISBN: 1107165857
• ISBN13: 9781107165854
• Release Date: July 2018
• Publisher: Cambridge University Press
• Length: 776 Pages
• Weight: 2.83 lbs.
• Dimensions: 0.8" x 6.4" x 9.3"