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Extracting Yield Curves from Bond Prices

Claus Munk

in Fixed Income Modelling

Published in print:
2011
Published Online:
September 2011
ISBN:
9780199575084
eISBN:
9780191728648
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199575084.003.0002
Subject:
Economics and Finance, Financial Economics

The clearest picture of the term structure of interest rates is obtained by looking at the yields of zero-coupon bonds of different maturities. However, in most countries almost all traded bonds are ... More


Bonds and Interest Rates

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0020
Subject:
Economics and Finance, Financial Economics

This chapter examines the specific problems associated with the application of arbitrage theory to the bond market. It focuses on zero coupon bonds, also known as pure discount bonds, of various ... More


Bonds and Interest Rates

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2019
Published Online:
February 2020
ISBN:
9780198851615
eISBN:
9780191886218
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198851615.003.0019
Subject:
Economics and Finance, Econometrics

In this chapter the reader is introduced to the basic concepts of interest rate theory. Starting with a market for zero coupon bonds we define the relevant interest rates such as the short rate, the ... More


Short Rate Models

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0021
Subject:
Economics and Finance, Financial Economics

This chapter examines the problem of how to model an arbitrage free family of zero coupon bond price processes. It assumes a market for T-bonds for every choice of T, and that the market is arbitrage ... More


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