Yield Curve Modelling (Finance and Capital Markets Series)
Publisher: Palgrave Macmillan
Published: August 25, 2005
Language: eng
Format: Hardcover
Number of pages: 200
ISBN-13: 9781403947260
Subjects: Investment & securities; Business & Economics; Business / Economics / Finance; Business/Economics; Econometrics; Finance; Investments & Securities - Bonds; Business & Economics / Finance; Bonds; Econometric models; Interest rates; Investments; Valuation
Description: "This book provides insight into how to model yield curves in incomplete and imperfect financial markets. An extensive list of yield curve models is shown and discussed, then applied using actual market instruments. Techniques to derive both nominal and real yield curves are illustrated. The book also discusses various issues that have to be taken into account in practice: daycount conventions, quoting conventions, interpolation and extrapolation techniques, business-day rules, the credit quality of the instrument, and liquidity."--Jacket.