1. Introduction -- 2. A novel model-free term structure for stock prediction -- 3. An adaptive correlation heston model for stock prediction -- 4. The algorithm to control risk using options -- 5. Option strategies : evaluation criteria and optimization -- 6. A novel mean reversion-based local...

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 is analyzed and compared to different approaches proposed...

In this book, well-known expert Riccardo Rebonato provides the theoretical foundations (no-arbitrage, convexity, expectations, risk premia) needed for the affine modeling of the government bond markets. He presents and critically discusses the wealth of empirical findings that have appeared in...

Biographical note: Francis X. Diebold is the Paul F. and Warren S. Miller Professor of Economics at the University of Pennsylvania and professor of finance and statistics at the university's Wharton School. Glenn D. Rudebusch is executive vice president and director of economic research at the...

Biographical note: RebonatoRiccardo: Riccardo Rebonato is Head of Group Market Risk and Head of the Quantitative Research Centre (QUARC) for the Royal Bank of Scotland Group. He is also a Visiting Lecturer at Oxford University's Mathematical Institute, where he teaches for the MSC/Diploma in...

We show that the stock market price reaction to monetary policy surprises upon announcements of the Federal Open Market Committee (FOMC) is explained mostly by changes in the default-free term structure of yields, not by changes in the equity premium. We reach this conclusion based on a new...