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|a HCDD
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|a Choudhry, Moorad.
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|a Analysing and interpreting the yield curve /
|c Moorad Choudhry.
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|a Analyzing and interpreting the yield curve
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| 250 |
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|a Second edition.
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|a Hichester, West Sussex :
|b Wiley,
|c 2019.
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| 300 |
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|a 1 online resource
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| 336 |
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|a text
|b txt
|2 rdacontent
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| 337 |
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|a computer
|b n
|2 rdamedia
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| 338 |
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|a online resource
|b nc
|2 rdacarrier
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| 347 |
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|a text file
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|a Wiley finance
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| 500 |
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|a Revised edition of the author's Analysing and interpreting the yield curve, c2004.
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|a "Understand and interpret the global debt capital markets Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely predict the shape and direction of the curve permits practitioners to consistently outperform the market. Analysing and Interpreting the Yield Curve, 2nd Edition describes what the yield curve is, explains what it tells participants, outlines the significance of certain shapes that the curve assumes and, most importantly, demonstrates what factors drive it and how it is modelled and used. Covers the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve models Gets you up to speed on the secured curve Describes application of theoretical versus market curve relative value trading Explains the concept of the risk-free rate Accessible demonstration of curve interpolation best-practice using cubic spline, Nelson-Siegel and Svensson 94 models The books companion website includes a number of yield curve models that are ready for application at any commercial bank. This advanced text is essential reading for traders, asset managers, bankers and financial analysts, as well as graduate students in banking and finance"--
|c Provided by publisher.
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| 520 |
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|a "The completely updated and much expanded book will describe what the yield curve is, explain what it tells participants, outline the significance of certain shapes that the curve assumes and, most importantly, demonstrate how it is modelled and used. New chapters will cover the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve models as well as the secured curve. The book will also address relative value trading and he concept of the risk-free rate"--
|c Provided by publisher.
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| 504 |
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|a Includes bibliographical references and index.
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|a Print version record and CIP data provided by publisher; resource not viewed.
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|a Cover; Title Page; Copyright; Contents; Foreword; Preface; Preface to the First Edition; Acknowledgments; About the Author; Part I Introduction to the Yield Curve; Chapter 1 The Yield Curve; The Yield Curve for Beginners; Yield to Maturity Yield Curve; The Coupon Yield Curve; The Par Yield Curve; The Zero-Coupon (or Spot) Yield Curve; Using Spot Rates in Bond Analysis; The Forward Yield Curve; Analysing and Interpreting the Yield Curve; An Introduction to Fitting the Yield Curve; Spot and Forward Rates in the Market; The Interest-Rate Swap Curve and the Sovereign Bond Curve
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|a Appendix: Cubic spline interpolationSelected Bibliography and References; Chapter 2 A Further Look at Spot and Forward Rates; Zero-Coupon Bonds; Coupon Bonds; Bond Price in Continuous Time; Introduction to Bond Analysis Using Spot Rates and Forward Rates in Continuous Time; Appendices; Selected Bibliography and References; Part II Yield Curve Modelling and Post-2008 Yield Curve Analytics; Chapter 3 Interest Rate Modelling I: Primer on Basic Concepts; The Dynamics of the Yield Curve; Term Structure Modelling; Basic Concepts; Itô's Lemma; Approaches to Modelling
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|a One-Factor, Two-Factor and Multi-Factor ModelsThe Short-Term Rate and the Yield Curve; Appendices; Selected Bibliography and References; Chapter 4 Interest Rate Modelling II: The Dynamic of Asset Prices; The Behaviour of Asset Prices; Stochastic Processes; Wiener Process or Brownian Motion; The Martingale Property; Generalised Wiener Process; A Model of the Dynamics of Asset Prices; Stochastic Calculus Models: Brownian Motion and Itô Calculus; Brownian Motion; Stochastic Calculus; Uncertainty of Interest Rates; Appendices; Selected Bibliography and References; Chapter 5 Interest Rate Models I
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|a Interest Rate ModelsInterest Rate Processes; One-Factor Models; The Vasicek Model; The Merton Model; The Cox-Ingersoll-Ross Model; Arbitrage-Free Models; The Ho and Lee Model; The Hull-White Model; The Black-Derman-Toy Model; Fitting the Model; Summary; Selected Bibliography and References; Chapter 6 Interest Rate Models II; Multi-Factor Term Structure Models; The Multi-Factor Heath-Jarrow-Morton Model; Jump Models; Assessing One-Factor and Multi-Factor Models; Choosing a Term Structure Model; Importance of Practicality; Selected Bibliography and References; References on Estimation Method
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|a Chapter 7 The Index-Linked Bond Yield CurveIndex-Linked Bonds and Real Yields; The Real Term Structure of Interest Rates; The term structure of implied forward inflation rates; Estimating the Real Term Structure; Fitting the discount function; Deriving the term structure of inflation expectations; Application; Selected Bibliography and References; Chapter 8 Yield Curve Analytics in the Post-2008 Era; Overnight Index Swap (OIA) Yield Curve; Post-Crash Discounting Principles for Yield-Curve Construction; Four Curves: Sovereign, Libor, OIS, and Internal Funding Curve; Appendix
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|f Copyright © 2019 by John Wiley & Sons
|g 2019
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| 650 |
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|a Bonds
|x Valuation
|x Econometric models.
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| 650 |
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|a BUSINESS & ECONOMICS
|x Banks & Banking.
|2 bisacsh
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| 650 |
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|a BUSINESS & ECONOMICS
|x Finance.
|2 bisacsh
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| 758 |
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|i has work:
|a Analysing and interpreting the yield curve (Text)
|1 https://id.oclc.org/worldcat/entity/E39PCFHTQW7MDYbxyVPYpDWj3P
|4 https://id.oclc.org/worldcat/ontology/hasWork
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| 776 |
0 |
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|i Print version:
|a Choudhry, Moorad.
|t Analysing and interpreting the yield curve.
|b Second edition.
|d Hoboken : Wiley, 2019
|z 9781119141044
|w (DLC) 2018056454
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| 856 |
4 |
0 |
|u https://ebookcentral.proquest.com/lib/holycrosscollege-ebooks/detail.action?docID=5751851
|y Click for online access
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|a EBC-AC
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|a 92
|b HCD
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