Zero lower bound term structure modeling : a practitioner's guide
Author(s)
Bibliographic Information
Zero lower bound term structure modeling : a practitioner's guide
(Applied quantitative finance series)
Palgrave Macmillan, 2015
- : hardback
Available at / 4 libraries
-
No Libraries matched.
- Remove all filters.
Note
Bibliography: p. [397]-402
Includes index
Description and Table of Contents
Description
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.
Table of Contents
Chapter 1: Introduction Chapter 2: A New Framework for a New Environment Chapter 3: Gaussian Affine Term Structure Models Chapter 4: Krippner Framework for ZLB Term Structure Modeling Chapter 5: Black Framework for ZLB Term Structure Modeling Chapter 6: K-ANSM Foundations and "Effective Monetary Stimulus" Chapter 7: Monetary Policy Applications Chapter 8: Financial Market Applications Chapter 9: Conclusions and Future Research Directions Appendix A: Matrix Notation
by "Nielsen BookData"