'Long rate' presentation slideshows

10.2 Affine-Yield Models

10.2 Affine-Yield Models. ???. Bond Prices. According to the risk-neutral pricing formula, the price at time t of a zero-coupon bond paying 1 at a latter time T is R ( t ) ? Y 1 ( t ) ? Y 2 ( t ) ??. (10.2.6). And the solution of the system of stochastic differential equations

749 views • 45 slides

Risk and term structure of interest rates

548 views • 30 slides

F-tests continued

F-tests continued. Introduction. Discuss the problems associated with structural breaks in the data. Examine the Chow test for a structural break. Assess an example of the use of the Chow test and ways to solve the problem of structural breaks. Introduce the problem of multicollinearity.

852 views • 23 slides

The expectations channel and m onetary policy operations in Asia-Pacific b ond m arket s

The expectations channel and m onetary policy operations in Asia-Pacific b ond m arket s. Eli M Remolona Head of Economics for Asia and the Pacific Workshop on Developing Government Bond Markets: Challenges towards Sound Monetary Management Bali, October 31 - November 1, 2007.

483 views • 14 slides