Bond Pricing and Yield Curve Modeling: A Structural Approach

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.

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).

'Rebonato has produced a unique and intensely engaging treatment of modern dynamic yield curve modeling: where we've been, where we are, where we're going, and why. Without slipping into spineless eclecticism - indeed he stays far from it, emphasizing a structural approach throughout - he beautifully blends rigor with penetrating intuition, seriousness of purpose with entertaining quips and quotes, historical awareness with forward-looking insight, and crucially, statistics with theory.' Francis X. Diebold, University of Pennsylvania 'I have been waiting for Riccardo to write this book for years, and finally the wait is over! This book represents a brilliant combination of theory and practice as used by practitioners in a lucid yet rigorous manner. I can confidently say that the depth of perception that this book brings will be indispensable for anyone interested in understanding bonds and the yield curve, especially in today's market environment.' Vineer Bhansali, LongTail Alpha 'Rebonato's book integrates practical aspects of yield curve investing with the most up-to-date research. It is a superb synthesis for anyone interested in rigorous analysis of these capital markets, which are among the most important globally.' Ian Cooper, London Business School, University of London 'Rebonato takes readers on a thought-provoking journey that will elevate their thinking about term-structure modeling. In this journey, they will likely become increasingly familiar and comfortable with some simple mathematical techniques that are new to them.' Enterprising Investor, CFA Institute (www.blogs.cfainstitute.org)