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Apr 25, 2011

Yield Curve Modelling (Finance and Capital Markets Series)

Book Description
This book will give the reader insight into how to model yield curves in our incomplete and imperfect financial markets. An extensive list of yield curve models are shown and discussed. Using actual market instruments, these models are then applied and the different yield curves are compared. It is assumed that the reader has a basic understanding of the financial instruments available in the market. Various issues that have to be taken into account in practice are discussed, and it is also shown how yield curves can be used to estimate credit spreads and country risk premiums.
About the Author
Yolanda Stander heads a team of analysts developing financial models for Rand Merchant Bank, Johannesburg, South Africa. The author's focus in on market risk.

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