A Principal-Component-Based Affine Term Structure Model
Language: en
Pages: 42
Authors: Riccardo Rebonato
Categories:
Type: BOOK - Published: 2014 - Publisher:

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We present an essentially affine model with pricipal components as state variables. We show that, once no-arbitrage is imposed, this choice of state variables i
Affine Principal-Component-Based Term Structure Model
Language: en
Pages: 50
Authors: Ivan Saroka
Categories:
Type: BOOK - Published: 2014 - Publisher:

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We present an affine multifactor Gaussian term structure model, where we let factors be principal components of yields. Taking forward the affine-yield idea pre
An Assessment of Econometric Methods Used in the Estimation of Affine Term Structure Models
Language: en
Pages: 274
Authors: Januj Juneja
Categories:
Type: BOOK - Published: 2010 - Publisher:

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The first essay empirically evaluates recently developed techniques that have been proposed to improve the estimation of affine term structure models. The evalu
Yield Curve Modelling
Language: en
Pages: 0
Authors: Irene Sekyere Asare
Categories:
Type: BOOK - Published: 2020 - Publisher:

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The term structure of interest rates is relevant to economists as it reflects the information available to the market about the time value of money in the futur
Bond Pricing and Yield Curve Modeling
Language: en
Pages: 781
Authors: Riccardo Rebonato
Categories: Business & Economics
Type: BOOK - Published: 2018-06-07 - Publisher: Cambridge University Press

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In this book, well-known expert Riccardo Rebonato provides the theoretical foundations (no-arbitrage, convexity, expectations, risk premia) needed for the affin