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eISBN : 9781400845415

Sommaire : List of Illustrations
Introduction
Preface
Additional Acknowledgment
1 Facts, Factors, and Questions
1.1 Three Interest Rate Curves
1.2 Zero-Coupon Yields
1.3 Yield Curve Facts
1.4 Yield Curve Factors
1.5 Yield Curve Questions
1.6 Onward

2 Dynamic Nelson-Siegel
2.1 Curve Fitting
2.2 Introducing Dynamics
2.3 State-Space Representation
2.4 Estimation
2.5 Multicountry Modeling
2.6 Risk Management
2.7 DNS Fit and Forecasting

3 Arbitrage-Free Nelson-Siegel
3.1 A Two-Factor Warm-Up
3.2 The Duffie-Kan Framework
3.3 Making DNS Arbitrage-Free
3.4 Workhorse Models
3.5 AFNS Restrictions on A0(3)
3.6 Estimation
3.7 AFNS Fit and Forecasting

4 Extensions
4.1 Variations on the Basic Theme
4.2 Additional Yield Factors
4.3 Stochastic Volatility
4.4 Macroeconomic Fundamentals

5 Macro-Finance
5.1 Macro-Finance Yield Curve Modeling
5.2 Macro-Finance and AFNS
5.3 Evolving Research Directions

6 Epilogue
6.1 Is Imposition of No-Arbitrage Helpful?
6.2 Is AFNS the Only Tractable A0(3) Model?
6.3 Is AFNS Special?
Appendixes
Appendix A Two-Factor AFNS Calculations
A.1 Risk-Neutral Probability
A.2 Euler Equation
Appendix B Details of AFNS Restrictions
B.1 Independent-Factor AFNS
B.2 Correlated-Factor AFNS
Appendix C The AFGNS Yield-Adjustment Term
Bibliography
Index

Langue : Anglais

Collection : THE ECONOMETRIC AND TINBERGEN INSTITUTES LECTURES

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque