ISBN 13 : 978-1107165854

Sommaire : Acknowledgements
Symbols and Abbreviations

Part I The Foundations
1 What This Book Is About
2 Definitions, Notation and a Few Mathematical Results
3 Links among 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 Expectations
9 Convexity: A First Look
10 A Preview: A First Look at the Vasicek Model

Part III The Conditions of No-Arbitrage
11 No-Arbitrage in Discrete Time
12 No-Arbitrage in Continuous Time
13 No-Arbitrage with State Price Delators
14 No-Arbitrage Conditions for Real Bonds
15 Links with an Economics-Based Description of Rates

Part IV Solving the Models
16 Solving Afine 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
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 Inlation: The D'Amico–Kim–Wei Model
32 From Snapshots to Structural Models: The Diebold–Rudebusch Approach
33 Principal Components as State Variables of Afine Models: The PCA Afine Approach
34 Generalizations: The Adrian–Crump–Moench Model
35 An Afine, Stochastic-Market-Price-of-Risk Model
36 Conclusions
References
Index

Langue : Anglais

Lieu d'édition : CAMBRIDGE

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Professeur EDHEC : Oui

Propriétaire : Bibliothèque