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
This advanced text is essential reading for traders, asset managers,
bankers and financial analysts, as well as graduate students in
banking and finance.
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Produktdetaljer
ISBN
9781119141051
Publisert
2019
Utgave
2. utgave
Utgiver
Vendor
John Wiley & Sons P&T
Språk
Product language
Engelsk
Format
Product format
Digital bok
Forfatter