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| Publisher | Cambridge University Press |
| Author | Riccardo Rebonato |
| Language | English |
| About the Author | Riccardo Rebonato is Professor of Finance at EDHEC Business School, France. He has been Global Head of Fixed Income and FX Analytics at Pacific Investment Management Company, LLC (PIMCO), and Head of Research, Risk Management and Derivatives Trading at several major international banks. He has previously held academic positions at Imperial College of Science, Technology and Medicine, University of London and University of Oxford, and has been a Board Director for the International Swaps and Derivatives Association (ISDA). He currently is a Professorial Visiting Fellow at the University of Edinburgh, and sits on the Board of Global Association of Risk Professionals (GARP). He is the author of several books and articles in finance and risk management, including Portfolio Management under Stress (Cambridge, 2014). |
| Number of Pages | 776 |
| ISBN 13 | 9781107165854 |
| Book Format | Hardcover |
| Book Description | 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. |
| Publication Date | 20180607 |
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