Estimation Of The Zero Coupon Swap Yield Curve PDF Download
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Author | : Srichander Ramaswamy |
Publisher | : |
Total Pages | : 0 |
Release | : 2005 |
Genre | : |
ISBN | : |
Download Estimation of the Zero Coupon Swap Yield Curve Book in PDF, ePub and Kindle
The term structure of interest rates plays a central role in the valuation, pricing and management of interest rate dependent securities. In this paper I focus on the application of the B-Spline methodology to construct zero coupon and forward rate curves for the swap market. By allowing the placements of the knot points for the B-splines to be part of the optimisation process it is possible to construct smooth zero coupon curves that do not violate the bid-ask constraints of the market rates/prices observed.
Author | : Robert Ferstl |
Publisher | : |
Total Pages | : |
Release | : 2010 |
Genre | : |
ISBN | : |
Download Zero Coupon Yield Curve Estimation with the Package Termstrc Book in PDF, ePub and Kindle
Since zero-coupon rates are rarely directly observable, they have to be estimated from market data. In this paper we review several widely-used parametric term structure estimation methods. We propose a weighted constrained optimization procedure with analytical gradients and a globally optimal start parameter search algorithm. Moreover, we introduce the R package termstrc, which offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets. It provides extensive summary statistics and plots to compare the results of the different estimation methods. We illustrate the application of the package through practical examples using market data from European government bonds and yields.
Author | : Satyajit Das |
Publisher | : McGraw-Hill Companies |
Total Pages | : 1552 |
Release | : 1994 |
Genre | : Business & Economics |
ISBN | : |
Download Swap & Derivative Financing Book in PDF, ePub and Kindle
Addresses recent developments in the market and analyzes new swap structures. Explains the banking innovations, techniques and players that spawned this financial revolution. Specific topics include: The structure and operation of all major swap markets in North America, Europe and Asia; The economics and pricing of a wide variety of swap structures; Techniques for hedging swaps and managing a swap inventory; Using swaps to access low-cost funding and to manage asset/liability positions; Accounting, taxation, legal and documentary issues.
Author | : Robert E. Whaley |
Publisher | : John Wiley & Sons |
Total Pages | : 962 |
Release | : 2007-02-26 |
Genre | : Business & Economics |
ISBN | : 0470086386 |
Download Derivatives Book in PDF, ePub and Kindle
Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.
Author | : Sanjay K. Nawalkha |
Publisher | : John Wiley & Sons |
Total Pages | : 436 |
Release | : 2005-05-09 |
Genre | : Business & Economics |
ISBN | : 0471427241 |
Download Interest Rate Risk Modeling Book in PDF, ePub and Kindle
The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.
Author | : R. Stafford Johnson |
Publisher | : John Wiley & Sons |
Total Pages | : 664 |
Release | : 2009-02-09 |
Genre | : Business & Economics |
ISBN | : 1405142359 |
Download Bond Evaluation, Selection, and Management Book in PDF, ePub and Kindle
Bond Evaluation, Selection, and Management synthesizes fundamental and advanced topics in the field, offering comprehensive coverage of bond and debt management. This text provides readers with the basics needed to understand advanced strategies, and explanations of cutting edge advanced topics. Focusing on concepts, models, and numerical examples, readers are provided with the tools they need to select, evaluate, and manage bonds. Provides a comprehensive exposition of bond and debt management. Covers both the fundamental and advanced topics in the field, including bond derivatives. Focuses on concepts, models, and numerical examples. Reinforces important concepts through review questions, web exercises, and practice problems in each chapter.
Author | : David Bolder |
Publisher | : |
Total Pages | : 56 |
Release | : 1999 |
Genre | : Government securities |
ISBN | : 9780662276029 |
Download Yield Curve Modelling at the Bank of Canada Book in PDF, ePub and Kindle
Author | : Carl R. Beidleman |
Publisher | : Irwin Professional Publishing |
Total Pages | : 550 |
Release | : 1991 |
Genre | : Business & Economics |
ISBN | : |
Download Interest Rate Swaps Book in PDF, ePub and Kindle
This broad overview of swaps brings you the experience of prominent international authorities who explain how to effectively manage interest rate risk.
Author | : Peter Kohl-Landgraf |
Publisher | : BoD – Books on Demand |
Total Pages | : 222 |
Release | : 2007 |
Genre | : Derivative securities |
ISBN | : 3833495375 |
Download PDE Valuation of Interest Rate Derivatives Book in PDF, ePub and Kindle
The Libor Market Model and its several extensions can be seen as state of the art in interest rate modeling. However, due to the ever increasing complexity of interest rate products, the high dimensionality of this approach starts to reach its limits from the computational side. This book is mainly concerned with a class of Markovian Yield Curve Models which try to overcome that disadvantage as they enable a low-dimensional deterministic and fast PDE valuation. The objective of this book is thereby threefold: - To illuminate in a compact way the connection between stochastic processes and partial differential equations as well as review the key features of arbitrage-free pricing. - To embed the here analyzed Markovian model class into the entire framework of interest rate models. - To present and implement robust numerical schemes, which enable an efficient computational treatment of risk-neutral product valuation by using PDE methods.
Author | : Livingston G. Douglas |
Publisher | : Prentice Hall |
Total Pages | : 664 |
Release | : 1988 |
Genre | : Bonds |
ISBN | : |
Download Yield Curve Analysis Book in PDF, ePub and Kindle
With their increasing complexity, the fixed-income markets have made greater demands upon their participants. To be successful -- in this era of heightened volatility, especially -- requires a firm foundation in the precepts underlying the behavior of fixed-income investments. This book answers that need by presenting a comprehensive analysis of the two primary concepts: risk and return. Its four major sections develop and apply these concepts clearly and progressively, with outline and summary aids to enhance understanding and ample illustrations to reinforce the explanations.