The Debt Market, Volume 2

Front Cover
Edward Elgar, 2000 - Business & Economics - 1576 pages
0 Reviews
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.

From inside the book

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

TESTING THE DERIVATIVE ASSET APPROACH
Roger H Brown and Stephen M Schaefer I994 The Term
72
Thomas S Y IIo and SangBin Lee 1986 Term Structure
150
Copyright

8 other sections not shown

Other editions - View all

Common terms and phrases

About the author (2000)

Stephen Ross is presently the Franco Modigliani Professor of Finance and Economics at the Sloan School of Management, Massachusetts Institute of Technology. One of the most widely published authors in finance and economics, Professor Ross is recognized for his work in developing the Arbitrage Pricing Theory and his substantial contributions to the discipline through his research in signaling, agency theory, option pricing, and the theory of the term structure of interest rates, among other topics. A past president of the American Finance Association, he currently serves as an associate editor of several academic and practitioner journals. He is a trustee of CalTech, a director of the College Retirement Equity Fund (CREF), and Freddie Mac. He is also the co-chairman of Roll and Ross Asset Management Corporation.