Theoretical and empirical analysis of common factors in a term structure model / by Ting Ting Huang.

Format:

Book

Author/Creator:

Huang, Ting-Ting.

Language:

English

Subjects (All):

Bonds--Mathematical models.

Bonds.

Capital assets pricing model.

Physical Description:

1 online resource (50 p.)

Edition:

1st ed.

Place of Publication:

Newcastle upon Tyne : Cambridge Scholars Pub., 2009.

Language Note:

English

Summary:

This paper is the first that completely studies dynamical and cross-sectional structures of bonds, typically used as risk-free assets in mathematical finance, on the independence of the common factors with the empirical copula. During the last decade, financial models based empirically on common factors have acquired increasing popularity in risk management and asset pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for non-specialis...

Contents:

INTRODUCTORY NOTE; CONTENTS; LIST OF TABLES; LIST OF FIGURES; 1. INTRODUCTION; 2. COMMON FACTORS OF RANDOM VARIABLES; 3. COMMON FACTORS OF STOCHASTIC PROCESSES; 4. MODELING THE US TREASURY BONDS; 5. THE INDEPENDENCY OF THE FIRST TWO COMMON FACTORS; 6. CONCLUSION; REFERENCES

Notes:

Includes bibliographical references (p. 37-38).

Description based on metadata supplied by the publisher and other sources.

ISBN:

1-282-41475-5

9786612414756

1-4438-1582-9

OCLC:

830167660