The Debt Market, Volume 2
This three-volume collection prepared by a leading scholar and practitioner presents the subject through a collection of important published articles on the debt market. It focuses first on the classical bond market and moves on to a discussion of rational expectations, estimation and the term structure. This is followed by the modern theory of the term structure derived from modelling the stochastic movements of interest rates. The third section discusses implementation and related subtopics including taxation and the management of interest rate risk. The final section extends the discussion to corporate bonds and mortgages.
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TESTING THE DERIVATIVE ASSET APPROACH
Roger H Brown and Stephen M Schaefer I994 The Term
Thomas S Y IIo and SangBin Lee 1986 Term Structure
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arbitrage assets assumed basis points basis risk binomial bond options bond prices calculated changes CIR model correlation coupon bond cross-sectional deﬁned deﬁnition discount bond discount function DTSE duration Dybvig empirical equation equilibrium error estimates expected factor Financial Economics ﬁnd ﬁrst ﬁt ﬁxed formula forward rates future hedging holding period immunization implied index-linked inﬂation Ingersoll interest rate contingent interest-rate investment investor Journal of Finance liabilities long rate long-term mean measure nominal optimal option pricing ordinary income paper parameters payments portfolio premium proﬁt rate contingent claims rate of interest real interest rates reﬂect retum risk riskless Ross S.M. Schaefer securities short rate short-term signiﬁcant speciﬁcation spot rate standard deviation stochastic stock price strategy structure of interest structure of real Table tax bracket tax rate term structure Treasury valuation variable variance Vasicek model yield curve yield to maturity zero