How to Deform a Yield Curve : The Most Likely Deformation of a Yield Curve Consistent with Subjective Views

We show how the most likely deformation can be assigned to a yield curve, consistent with subjetive views on a handful of key rates. We provide an inutive explanation for the solution, which is perhaps not what one might at first blush have expected. We draw analogies from physics that illuminate the reasoning

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Year of publication:	2019
Authors:	Saroka, Ivan
Other Persons:	Rebonato, Riccardo (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Zinsstruktur \| Yield curve \| Theorie \| Theory \| Rendite \| Yield
Description of contents:	Abstract [papers.ssrn.com] ; Abstract [doi.org]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: 'https://doi.org/10.3905/jfi.2014.24.3.030' https://doi.org/10.3905/jfi.2014.24.3.030 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 29, 2014 erstellt Volltext nicht verfügbar
Other identifiers:	10.2139/ssrn.2443285 [DOI]
Classification:	E40 - Money and Interest Rates. General ; F30 - International Finance. General ; G10 - General Financial Markets. General ; G20 - Financial Institutions and Services. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012904876