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Die Entwicklung der Zinsstrukturkurve

Die Entwicklung der Zinsstrukturkurve

Christoph Mayer

Format: Print Book

ISBN: 9783834917010

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Christoph Mayer analysiert traditionelle einfaktorielle Modelle der Zinsstruktur ebenso wie mehrfaktorielle Erweiterungen. Er kalibriert die betrachteten Modelle auf Basis des Kalman-Filters, projiziert die weitere Entwicklung der Zinsstrukturkurve und simuliert die Wertentwicklung eines Beispielportfolios aus Bundesanleihen.

Publication Year: 2009
Imprint: Gabler Verlag







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