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Applied Quantitative Finance

Zero Lower Bound Term Structure Modeling

A Practitioner’s Guide

Authors: Krippner, L.

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eBook $79.99
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  • ISBN 978-1-137-40182-3
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Hardcover $99.99
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  • ISBN 978-1-137-40832-7
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About this book

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.

About the authors

Leo Krippner is Senior Advisor to the Research Section of the Economics Department at the Reserve Bank of New Zealand.

Reviews

"In this book, Leo Krippner thoughtfully explores the model's important implications for both investors and policy makers. Anyone interested in the term structure of interest rates will want to own this book." - Scott F. Richard, Practice Professor of Finance, The Wharton School, University of Pennsylvania and Former Managing Director and Fixed Income Portfolio Manager, Morgan Stanley Investment Management

"A timely achievement, Leo's excellent book provides a detailed exposition of the recent progress made in term structure modeling in the new, post-crisis environment. Expertly written and technically superb, this book serves as a useful guide for academics and central bank practitioners alike. A worthwhile read for everyone working on shadow interest rates or interested in monetary policy at the zero lower bound." - Feng Zhu, Senior Economist, Bank for International Settlements

"This book is timely in pointing researchers and practitioners to current developments in how to incorporate the zero lower bound in economic models of interest rates." - Jing Cynthia Wu, University of Chicago Booth School of Business

"The most extensive treatment of fixed-income pricing in near-zero interest-rate regimes." - Attilio Meucci, Founder, SYMMYS and Chief Risk Officer, KKR


Table of contents (9 chapters)

Table of contents (9 chapters)

Buy this book

eBook $79.99
price for USA in USD (gross)
  • ISBN 978-1-137-40182-3
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $99.99
price for USA in USD
  • ISBN 978-1-137-40832-7
  • Free shipping for individuals worldwide
  • Online orders shipping within 2-3 days.
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Bibliographic Information

Bibliographic Information
Book Title
Zero Lower Bound Term Structure Modeling
Book Subtitle
A Practitioner’s Guide
Authors
Series Title
Applied Quantitative Finance
Copyright
2015
Publisher
Palgrave Macmillan US
Copyright Holder
Palgrave Macmillan, a division of Nature America Inc.
eBook ISBN
978-1-137-40182-3
DOI
10.1057/9781137401823
Hardcover ISBN
978-1-137-40832-7
Edition Number
1
Number of Pages
XXVIII, 409
Topics