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收益率曲线套利Lecture 9 - Yield Curve Arbitrage |
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| 课程网址: | http://videolectures.net/yalemecon251f09_geanakoplos_lec09/ |
| 主讲教师: | John Geanakoplos |
| 开课单位: | 耶鲁大学 |
| 开课时间: | 2012-05-17 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | Where can you find the market rates of interest (or equivalently the zero coupon bond prices) for every maturity? This lecture shows how to infer them from the prices of Treasury bonds of every maturity, first using the method of replication, and again using the principle of duality. Treasury bond prices, or at least Treasury bond yields, are published every day in major newspapers. From the zero coupon bond prices one can immediately infer the forward interest rates. Under certain conditions these forward rates can tell us a lot about how traders think the prices of Treasury bonds will evolve in the future. |
| 关 键 词: | 业务; 金融; 理论 |
| 课程来源: | 视频讲座网 |
| 最后编审: | 2020-06-05：yumf |
| 阅读次数: | 273 |