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Bond Pricing and Yield Curve Modeling

Author

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  • Rebonato,Riccardo

Abstract

In this book, well-known expert Riccardo Rebonato provides the theoretical foundations (no-arbitrage, convexity, expectations, risk premia) needed for the affine modeling of the government bond markets. He presents and critically discusses the wealth of empirical findings that have appeared in the literature of the last decade, and introduces the 'structural' models that are used by central banks, institutional investors, sovereign wealth funds, academics, and advanced practitioners to model the yield curve, to answer policy questions, to estimate the magnitude of the risk premium, to gauge market expectations, and to assess investment opportunities. Rebonato weaves precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.

Suggested Citation

  • Rebonato,Riccardo, 2018. "Bond Pricing and Yield Curve Modeling," Cambridge Books, Cambridge University Press, number 9781107165854.
    • Handle: RePEc:cup:cbooks:9781107165854
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    Cited by:

    1. Rita Pimentel & Morten Risstad & Sjur Westgaard, 2022. "Predicting interest rate distributions using PCA & quantile regression," Digital Finance, Springer, vol. 4(4), pages 291-311, December.
    2. Riccardo Rebonato & Ivan Saroka & Vlad Putiatyn, 2020. "Principal-Component-Based Gaussian Affine Term Structure Models: Constraints And Their Financial Implications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-25, March.
    3. Sophocles N. Brissimis & Evangelia A. Georgiou, 2022. "The effects of Federal Reserve's quantitative easing and balance sheet normalization policies on long-term interest rates," Working Papers 299, Bank of Greece.
    4. Joan Gonzalvez & Edmond Lezmi & Thierry Roncalli & Jiali Xu, 2019. "Financial Applications of Gaussian Processes and Bayesian Optimization," Papers 1903.04841, arXiv.org.
    5. Petter Eilif de Lange & Morten Risstad & Kristian Semmen & Sjur Westgaard, 2023. "Term Premia in Norwegian Interest Rate Swaps," JRFM, MDPI, vol. 16(3), pages 1-19, March.
    6. Masafumi Nakano & Akihiko Takahashi, 2019. "A New Investment Method with AutoEncoder: Applications to Cryptocurrencies," CIRJE F-Series CIRJE-F-1128, CIRJE, Faculty of Economics, University of Tokyo.

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