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Author: Michael G. Abrahams
Publisher:
Published: 2018
Total Pages: 29
ISBN-13:
DOWNLOAD EBOOKIn this paper, I explore methods for estimating noise in the yield curve. I evaluate optimization methods for fitting yield curves using the Nelson-Siegel model where recommendations in the literature remain unclear. I provide open source code on Github including contributions to the QuantLib C++ financial library.
Author: Nicola Anderson
Publisher:
Published: 1996-06-04
Total Pages: 248
ISBN-13:
DOWNLOAD EBOOKA yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.
Author:
Publisher:
Published: 1996
Total Pages: 221
ISBN-13:
DOWNLOAD EBOOKAuthor: Ronald J. Ryan
Publisher: Global Professional Publishi
Published: 1997
Total Pages: 240
ISBN-13: 9781888998061
DOWNLOAD EBOOK� Invaluable to financial professionals � Breakthrough that examines both theory and practical solutions Examines both the advanced theory and practice of these techniques. Topics include: single- and multi-factor models; applying yield-curve modeling to risk management; forecasting short-term interest rates; unique yield-curve volatility; and trading strategies.
Author: Francis X. Diebold
Publisher: Princeton University Press
Published: 2013-01-15
Total Pages: 223
ISBN-13: 0691146802
DOWNLOAD EBOOKUnderstanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
Author: John H. Cochrane
Publisher: Hoover Press
Published: 2020-05-01
Total Pages: 237
ISBN-13: 0817923764
DOWNLOAD EBOOKAs the Federal Reserve System conducts its latest review of the strategies, tools, and communication practices it deploys to pursue its dual-mandate goals of maximum employment and price stability, Strategies for Monetary Policy—drawn from the 2019 Monetary Policy Conference at the Hoover Institution—emerges as an especially timely volume. The book's expert contributors examine key policy issues, offering their perspectives on US monetary policy tools and instruments and the interaction between Fed policies and financial markets. The contributors review central bank inflation-targeting policies, how various monetary strategies actually work in practice, and the use of nominal GDP targeting as a way to get the credit market to work well and fix the friction in that market. In addition, they discuss the effects of the various rules that the Fed considers in setting policy, how the Fed's excessive fine-tuning of the economy and financial markets has added financial market volatility and harmed economic performance, and the key issues that impact achievement of the Fed's 2 percent inflation objective. The volume concludes by exploring potential options for enhancing our policy approach.
Author: Marcos Faundez-Zanuy
Publisher: Springer
Published: 2006-02-08
Total Pages: 393
ISBN-13: 3540325867
DOWNLOAD EBOOKRefereed postproceedings of the International Conference on Non-Linear Speech Processing, NOLISP 2005. The 30 revised full papers presented together with one keynote speech and 2 invited talks were carefully reviewed and selected from numerous submissions for inclusion in the book. The papers are organized in topical sections on speaker recognition, speech analysis, voice pathologies, speech recognition, speech enhancement, and applications.
Author: Riccardo Rebonato
Publisher: Cambridge University Press
Published: 2018-06-07
Total Pages: 781
ISBN-13: 1316732959
DOWNLOAD EBOOKIn 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.
Author: Kenneth J. Singleton
Publisher: Princeton University Press
Published: 2009-12-13
Total Pages: 497
ISBN-13: 1400829232
DOWNLOAD EBOOKWritten by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities. Singleton addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures. As an added feature, Singleton includes throughout the book interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton's previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.
Author: Jean-Daniel Boissonnat
Publisher: Springer Science & Business Media
Published: 2012-01-07
Total Pages: 758
ISBN-13: 3642274129
DOWNLOAD EBOOKThis volume constitutes the thoroughly refereed post-conference proceedings of the 7th International Conference on Curves and Surfaces, held in Avignon, in June 2010. The conference had the overall theme: "Representation and Approximation of Curves and Surfaces and Applications". The 39 revised full papers presented together with 9 invited talks were carefully reviewed and selected from 114 talks presented at the conference. The topics addressed by the papers range from mathematical foundations to practical implementation on modern graphics processing units and address a wide area of topics such as computer-aided geometric design, computer graphics and visualisation, computational geometry and topology, geometry processing, image and signal processing, interpolation and smoothing, scattered data processing and learning theory and subdivision, wavelets and multi-resolution methods.
