haku: @author Flavell, R. / yhteensä: 4
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| Tekijä: | Flavell, R. Meade, N. Salkin, G. |
| Otsikko: | The gilt market: models and model-based trading |
| Lehti: | Journal of the Operational Research Society
1994 : APR, VOL. 45:4, p. 392-408 |
| Asiasana: | FINANCE TIME SERIES BONDS |
| Kieli: | eng |
| Tiivistelmä: | The construction of a model of the UK Government bond market, the gilts market , is described. The model uses discount functions, represented by low degree polyinomials in the form of B splines, to estimate the theoretical price of each gilt. A demonstration of the use of the model for trading gilts is given and shown to be profitable. The gilt market is one of the more important fixed interest bond markets and the feasibility of extending the use of the model to other markets, for governmental bonds and eurobonds, is explored. |
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