Zero Lower Bound Term Structure Modeling by L Krippner
Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.-
Interest Rate Modelling in the Multi-Curve Framework
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Credit Correlation
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XVA Desks - A New Era for Risk Management
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Discounting, LIBOR, CVA and Funding
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FX Barrier Options
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Quantitative Finance
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Modeling and Valuation of Energy Structures
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Optimization Methods for Gas and Power Markets
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SABR and SABR LIBOR Market Models in Practice
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The Validation of Risk Models
"In this book, Leo Krippner thoughtfully explores the model's important implications for both investors and policy makersAnyone interested in the term structure of interest rates will want to own this book." - Scott F. Richard, Practice Professor of Finance, The Wharton School, University of Pennsylvania and Former Managing Director and Fixed Income Portfolio Manager, Morgan Stanley Investment Management
"A timely achievement, Leo's excellent book provides a detailed exposition of the recent progress made in term structure modeling in the new, post-crisis environment. Expertly written and technically superb, this book serves as a useful guide for academics and central bank practitioners alike. A worthwhile read for everyone working on shadow interest rates or interested in monetary policy at the zero lower bound." - Feng Zhu, Senior Economist, Bank for International Settlements
"This book is timely in pointing researchers and practitioners to current developments in how to incorporate the zero lower bound in economic models of interest rates." - Jing Cynthia Wu, University of Chicago Booth School of Business
"The most extensive treatment of fixed-income pricing in near-zero interest-rate regimes." - Attilio Meucci, Founder, SYMMYS and Chief Risk Officer, KKR
| SKU | Unavailable |
| ISBN 13 | 9781137408327 |
| ISBN 10 | 1137408324 |
| Title | Zero Lower Bound Term Structure Modeling |
| Author | L Krippner |
| Series | Applied Quantitative Finance |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | Palgrave Macmillan |
| Year published | 2015-01-20 |
| Number of pages | 409 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |