利回り曲線の分析<br>Analysing and Interpreting the Yield Curve (Wiley Finance)

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利回り曲線の分析
Analysing and Interpreting the Yield Curve (Wiley Finance)

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  • 製本 Hardcover:ハードカバー版／ページ数 300 p.
  • 言語 ENG
  • 商品コード 9780470821251
  • DDC分類 332.6323

基本説明

Stripping away complicated mathematics to reveal basic concepts, it provides readers with sufficient grounding to evaluate completely the current and expected shape of the yield curve.
"Wiley Finance"

Full Description


The yield curve is the defining indicator of the global debt capital markets, and an understanding of it is vital to the smooth running of the economy as a whole. All participants in the market, be they issuers of capital, investors or banking intermediaries, will have a need to estimate, interpret and understand the yield curve. Fund managers that accurately predict the shape and direction of the curve will consistently outperform those that do not. This groundbreaking new book offers: * An intuitive account of a very important technical subject, cutting through the mathematics to reveal key concepts * Market approaches to enable fund managers to evaluate the current and expected shape of the yield curve * An opportunity for market professionals to have an understanding of the latest analytical techniques. Written by an experienced market practitioner, this book is a clear and accessible account of an important financial topic.

Contents

Foreword. Preface. PART IAND THE YIELD CURVE. Chapter 1. Bond Yield Measurement. Chapter 2. The Yield Curve. Chapter 3. A Further Look at Spot and Forward Rates. PART II: YIELD CURVE MODELING. Chapter 4. Interest Rate Modeling Part I: An Introduction to Basic Concepts. Chapter 5. Interest Rate Modeling Part II: Dynamics of Asset Prices. Chapter 6. Interest Rate Models: Part I. Chapter 7. Interest Rate Models: Part II. Chapter 8. The Index--linked Bond Yield Curve. Chapter 9. Analysing the Long Bond Yield. PART III: FITTING THE YIELD CURVE. Chapter 10. Estimating and Fitting the Curve: Part I. Chapter 11. Estimating and Fitting the Curve: Part II. PART IV: THE YIELD CURVE AND RELATIVE--VALUE TRADING. Chapter 12. Yield Curves and Relative Value. Chapter 13. Approaches to Yield Spread Trading Using Government Bonds. Index.