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Theoretical and empirical analysis of common factors in a term structure model / by Ting Ting Huang

Author
Huang, Ting-Ting
Published
Newcastle upon Tyne : Cambridge Scholars Pub., 2009.
Physical Description
1 online resource (xi, 38 pages) : illustrations
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Language Note
English.
Contents
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.
Summary
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 ...
Subject(s)
ISBN
1443815829 (electronic bk.)
9781443815826 (electronic bk.)
9781443813112 (pbk.)
1443813117 (pbk.)
9781443815826
1282414755
9781282414754
9786612414756
6612414758
Digital File Characteristics
text file
Bibliography Note
Includes bibliographical references (pages 37-38).
View MARC record | catkey: 43191546