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, ...
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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.
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Add this copy of Yield Curve Modeling to cart. $227.76, new condition, Sold by Basi6 International rated 5.0 out of 5 stars, ships from Irving, TX, UNITED STATES, published 2005 by Palgrave MacMillan.
Add this copy of Yield Curve Modeling to cart. $227.76, new condition, Sold by Basi6 International rated 5.0 out of 5 stars, ships from Irving, TX, UNITED STATES, published 2005 by Palgrave MacMillan.
Add this copy of Yield Curve Modeling (Finance and Capital Markets to cart. $261.63, new condition, Sold by GridFreed rated 5.0 out of 5 stars, ships from San Diego, CA, UNITED STATES, published 2005 by Palgrave Macmillan.
Add this copy of Yield Curve Modeling to cart. $290.27, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2005 by Palgrave MacMillan.
Add this copy of Yield Curve Modeling to cart. $290.27, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2005 by Palgrave MacMillan.
