Yield Curve Modeling

Language: English

Published by Palgrave Macmillan UK, 2005

1403947260 / 9781403947260

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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nach der Bestellung gedruckt Neuware - Printed after ordering - 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.

Seller Inventory # 9781403947260

Title
Yield Curve Modeling
Author
Y. Stander
Publisher
Palgrave Macmillan UK
Publication year
2005
Condition
Neu
Binding
Buch
Language
English
ISBN 10
1403947260
ISBN 13
9781403947260
Item weight
464 grams
Dimensions
242x162x19 mm

AHA-BUCH GmbH

Einbeck, Germany

5-star seller

AbeBooks seller since August 14, 2006

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