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書籍詳細




洋書

債券のプライシングと利回り曲線のモデリング:構造的アプローチ

Bond Pricing and Yield Curve Modeling : A Structural Approach

Rebonato, Riccardo

Cambridge Univ Pr 2018/06
752 p. 24 cm   
装丁: Hrd    装丁について
テキストの言語: ENG    出版国: GB
ISBN: 9781107165854
KCN: 1026019909
紀伊國屋書店 選定タイトル
標準価格:¥13,654(本体 ¥12,413)   
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納期について
DDC: 332
KDC: E210 金融理論
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Annotation

Presents a treatment of term-structure modeling that includes both the real-world and risk-neutral measures.

Full Description

Rebonato gives an authoritative, clear, and up-to-date explanation of the cutting-edge innovations in affine modeling for government bonds.
Detailed information

Table of Contents

Part I. The Foundations: 1. What this book is about; 2. Definitions, notation, and a few mathematical results; 3. Links between models, monetary policy, and the macroeconomy; 4. Bonds: their risks and their compensations; 5. The risk factors in action; 6. Principal components: theory; 7. Principal components: empirical results; Part II. The Building Blocks - A First Look: 8. A preview - a first look at the Vasicek model; 9. Expectations; 10. Convexity - a first look; Part III. No Arbitrage: 11. No arbitrage in discrete time; 12. No arbitrage in continuous time; 13. No arbitrage with state price deflators; 14. No-arbitrage conditions for real bonds; 15. The links with an economics-based description of rates; Part IV. Solving the Models: 16. Solving affine models: the Vasicek case; 17. First extensions; 18. A general pricing framework; 19. The shadow rate: dealing with a near-zero lower bound; Part V. The Value of Convexity: 20. The value of convexity; 21. A model-independent approach to valuing convexity; 22. Convexity: empirical results; Part VI. Excess Returns: 23. Excess returns: setting the scene; 24. Risk premia, the market price of risk, and expected excess returns; 25. Excess returns: empirical results; 26. Excess returns: the recent literature - I; 27. Excess returns: the recent literature - II; 28. Why is the slope a good predictor?; 29. The spanning problem revisited; Part VII. What the Models Tell Us: 30. The doubly-mean-reverting Vasicek model; 31. Real yields, nominal yields, and inflation: the D'Amico-Kim-Wei model; 32. From snapshots to structural models: the Diebold and Rudebush approach; 33. Principal components as state variables of affine models: the PCA affine approach; 34. Generalizations: the ACM model; 35. An affine, stochastic-market-price-of-risk model; 36. Conclusions; 37. References.