Bond Pricing and Yield Curve Modeling: A Structural Approach

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.

• Advances in Financial Machine Learning
• Big Debt Crises
• Mastering the Market Cycle: Getting the Odds on Your Side
• Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach (The Econometric and Tinbergen Institutes Lectures)
• Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps
• Machine Learning: An Applied Mathematics Introduction
• Hands-On Machine Learning for Algorithmic Trading: Design and implement investment strategies based on smart algorithms that learn from data using Python
• Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
• Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance)
• Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)