A major theme of this book is the development of a consistent unified model framework for the evaluation of bond … between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a … deterministic correlation structure between bond prices of different terms. Then the pricing of bond options is done either by …

practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management …

The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond …The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond …-period and continuous-time bond portfolio optimization problems are considered. …

This book analyses and discusses bonds and bond portfolios. Different yields and duration measures are investigated …. The transition from a single bond to a bond portfolio leads to the equation for the internal rate of return. Its solution … scenarios on a model bond portfolio is illustrated. Market and credit risk are introduced as independent sources of risk …

: Static Portfolio Theory: CAPM and Extentsions -- Consumption Based Asset Pricing Models -- Asset Pricing Models with … market to be studied here encompasses the money and bond market, credit market, stock market and foreign exchange market … theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models, and dynamic portfolio …

government bond yields within the European area. In the first step, these spreads are computed with the help of the Hull … bond spread increase Target Groups • Lecturers and students of finance, asset management • Experts in asset management …, sovereign bond markets and credit default swaps The Author Verena Anna Berger graduated from the University of Applied Science …

die zur Verfügung stehenden Instrumente der Performanceanalyse von Anleihe- und Aktienportfolios. Diese verknüpft er mit …