Rebonato gives an authoritative, clear, and up-to-date explanation of the cutting-edge innovations in affine modeling for government bonds.Hinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.
Riccardo Rebonato is Professor of Finance at EDHEC Business School, France. He has been Global Head of Fixed Income and FX Analytics at Pacific Investment Management Company, LLC (PIMCO), and Head of Research, Risk Management and Derivatives Trading at several major international banks. He has previously held academic positions at Imperial College of Science, Technology and Medicine, University of London and University of Oxford, and has been a Board Director for the International Swaps and Derivatives Association (ISDA). He currently is a Professorial Visiting Fellow at the University of Edinburgh, and sits on the Board of Global Association of Risk Professionals (GARP). He is the author of several books and articles in finance and risk management, including Portfolio Management under Stress (Cambridge, 2014).
Inhaltsangabe
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.
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.
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