Conventional Valuation and the Term Structure of Interest Rates
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Total Pages | : |
Release | : 1985 |
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Release | : 1985 |
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Author | : Robert J. Shiller |
Publisher | : |
Total Pages | : 45 |
Release | : 1985 |
Genre | : Interest rates |
ISBN | : |
There does not appear to be a general tendency for long-term interest rates either to overreact or to underreact to short-term interest rates relative to a rational expectations model of the term structure. Rather, there appears to be some tendency for markets to set long-term interest rates in terms of a convention or rule of thumb that makes long rates behave as a distributed lag, with gradually declining coefficients, of short-term interest rates. People seem to remember the recent past but blur the mare distant. In some monetary policy regimes this convention implies overreaction, in others underreaction
Author | : Frank J. Fabozzi |
Publisher | : John Wiley & Sons |
Total Pages | : 530 |
Release | : 2002-11-29 |
Genre | : Business & Economics |
ISBN | : 047144698X |
This ultimate guide contains an excellent blend of theory and practice This comprehensive guide covers various aspects of model building for fixed income securities and derivatives. Filled with expert advice, valuable insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a book that all institutional investors, portfolio managers, and risk professionals should have. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles-which include numerous bestsellers—The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.
Author | : Rajna Gibson |
Publisher | : Now Publishers Inc |
Total Pages | : 171 |
Release | : 2010 |
Genre | : Business & Economics |
ISBN | : 1601983727 |
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author | : Frank J. Fabozzi, CFA |
Publisher | : John Wiley & Sons |
Total Pages | : 536 |
Release | : 2002-11-01 |
Genre | : Business & Economics |
ISBN | : 9780471220947 |
This ultimate guide contains an excellent blend of theory and practice This comprehensive guide covers various aspects of model building for fixed income securities and derivatives. Filled with expert advice, valuable insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a book that all institutional investors, portfolio managers, and risk professionals should have. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles-which include numerous bestsellers—The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.
Author | : Wolfgang Nasner |
Publisher | : |
Total Pages | : 132 |
Release | : 1996 |
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Author | : David Meiselman |
Publisher | : |
Total Pages | : 96 |
Release | : 1962 |
Genre | : Business & Economics |
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Author | : Ken O. Kortanek |
Publisher | : John Wiley & Sons |
Total Pages | : 248 |
Release | : 2001-11-28 |
Genre | : Business & Economics |
ISBN | : |
This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.
Author | : Ricardo Rivera |
Publisher | : |
Total Pages | : 226 |
Release | : 1996 |
Genre | : Bonds |
ISBN | : 9780591142945 |
Author | : Bart Henricus Matthijs Kuijpers |
Publisher | : |
Total Pages | : 181 |
Release | : 2004 |
Genre | : |
ISBN | : 9789090187617 |