The Gilt Market: Models and Model-Based Trading
作者:
FlavellRichard,
MeadeNigel,
SalkinGerry,
期刊:
Journal of the Operational Research Society
(Taylor Available online 1994)
卷期:
Volume 45,
issue 4
页码: 392-408
ISSN:0160-5682
年代: 1994
DOI:10.1057/jors.1994.58
出版商: Taylor&Francis
关键词: finance;time series;bonds;term structure of interest rates
数据来源: Taylor
摘要:
AbstractThe construction of a model of the UK Government bond market, the gilts market, is described. The model uses discount functions, represented by low degree polynomials 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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