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Theoretical and empirical analysis of common factors in a term structure model /
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 fac...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Newcastle upon Tyne :
Cambridge Scholars Pub.,
2009.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Huang, Ting-Ting. | |
| 245 | 1 | 0 | |a Theoretical and empirical analysis of common factors in a term structure model / |c by Ting Ting Huang. |
| 260 | |a Newcastle upon Tyne : |b Cambridge Scholars Pub., |c 2009. | ||
| 300 | |a 1 online resource (xi, 38 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 504 | |a Includes bibliographical references (pages 37-38). | ||
| 505 | 0 | |a Introductory note; contents; list of tables; list of figures; 1. introduction; 2. common factors of random variables; 3. common factors of stochastic processes; 4. modelling the us treasury bonds; 5. the independency of the first two common factors; 6. conclusion; references. | |
| 520 | |a 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 ... | ||
| 506 | 1 | |a Legal Deposit; |c Only available on premises controlled by the deposit library and to one user at any one time; |e The Legal Deposit Libraries (Non-Print Works) Regulations (UK). |5 WlAbNL | |
| 540 | |a Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force. |5 WlAbNL | ||
| 546 | |a English. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Bonds |x Mathematical models. | |
| 650 | 0 | |a Capital assets pricing model. | |
| 650 | 6 | |a Obligations (Valeurs) |x Modèles mathématiques. | |
| 650 | 6 | |a Modèle d'évaluation des actifs financiers. | |
| 650 | 7 | |a Economics, finance, business & management. |2 bicssc | |
| 650 | 7 | |a Finance. |2 bicssc | |
| 650 | 7 | |a Econometrics. |2 bicssc | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x Bonds. |2 bisacsh | |
| 650 | 7 | |a Bonds |x Mathematical models |2 fast | |
| 650 | 7 | |a Capital assets pricing model |2 fast | |
| 758 | |i has work: |a Theoretical and empirical analysis of common factors in a term structure model (Text) |1 https://id.oclc.org/worldcat/entity/E39PCYywqw7KcqvdHPpYvcRvFq |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Huang, Ting Ting. |t Theoretical and Empirical Analysis of Common Factors in a Term Structure Model. |d Newcastle upon Tyne : Cambridge Scholars Publishing, ©2009 |z 9781443813112 |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=1133164 |z Texto completo |
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