• Sign In
  • Help
  • My Basket0
Bond Pricing and Yield Curve Modeling: A Structural Approach (Hardback)
  • Bond Pricing and Yield Curve Modeling: A Structural Approach (Hardback)

Bond Pricing and Yield Curve Modeling: A Structural Approach (Hardback)

Hardback 520 Pages / Published: 31/05/2018
  • Coming soon

Awaiting publication

  • This item has been added to your basket
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, and advanced practitioners to model the yield curve, to answer policy questions, to estimate the magnitude of the risk premium, to gauge market expectations, and to assess investment opportunities. Rebonato weaves 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.

Publisher: Cambridge University Press
ISBN: 9781107165854
Number of pages: 520
Dimensions: 228 x 152 mm

Advance praise: 'Rebonato has produced a unique and intensely engaging treatment of modern dynamic yield curve modeling: where we've been, where we are, where we're going, and why. Without slipping into spineless eclecticism - indeed he stays far from it, emphasizing a structural approach throughout - he beautifully blends rigor with penetrating intuition, seriousness of purpose with entertaining quips and quotes, historical awareness with forward-looking insight, and crucially, statistics with theory.' Francis X. Diebold, University of Pennsylvania
Advance praise: 'I have been waiting for Riccardo to write this book for years, and finally the wait is over! This book represents a brilliant combination of theory and practice as used by practitioners in a lucid yet rigorous manner. I can confidently say that the depth of perception that this book brings will be indispensable for anyone interested in understanding bonds and the yield curve, especially in today's market environment.' Vineer Bhansali, LongTail Alpha
Advance praise: 'Rebonato's book integrates practical aspects of yield curve investing with the most up-to-date research. It is a superb synthesis for anyone interested in rigorous analysis of these capital markets, which are among the most important globally.' Ian Cooper, London Business School, University of London

You may also be interested in...

Day Trading for Dummies, 3rd Edition
Added to basket
The Complete TurtleTrader
Added to basket
Technical Analysis For Dummies
Added to basket
Investing for Dummies - UK
Added to basket
Added to basket
Smarter Investing 3rd edn
Added to basket
Rich Dad's Guide to Investing
Added to basket
£14.99   £10.49
Investing in Shares For Dummies
Added to basket
Property Investing All-In-One For Dummies
Added to basket
The Snowball
Added to basket


Please sign in to write a review

Your review has been submitted successfully.