Overview
- Describes results related to the analytical study of yield term structures and their generalizations with increased state space dimension
- Focuses on the properties of the yield, not only for limited terms to maturity, but also for the entire interval of all possible such terms
- Uses numerical techniques when the analytical approach is too cumbersome, or impossible
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Table of contents (11 chapters)
Keywords
About this book
The main focus is the comparative analysis of yield curves and forward curves and the analytical study of their features. Generalizations of yield term structures are studied where the dimension of the state space of the financial market is increased. In cases where the analytical approach is too cumbersome, or impossible, numerical techniques are used.
This book will be of interest to financial analysts, financial market researchers, graduate students and PhD students.
Authors and Affiliations
About the author
Gennady A. Medvedev is a professor of physical and mathematical sciences at the Belarusian State University. His research interests are in applied statistical analysis and stochastic financial mathematics. He is the author of 11 monographs and 16 textbooks.
Bibliographic Information
Book Title: Yield Curves and Forward Curves for Diffusion Models of Short Rates
Authors: Gennady A. Medvedev
DOI: https://doi.org/10.1007/978-3-030-15500-1
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer Nature Switzerland AG 2019
Hardcover ISBN: 978-3-030-15499-8Published: 29 May 2019
Softcover ISBN: 978-3-030-15502-5Published: 14 August 2020
eBook ISBN: 978-3-030-15500-1Published: 18 May 2019
Edition Number: 1
Number of Pages: XXIV, 230
Number of Illustrations: 49 b/w illustrations, 9 illustrations in colour
Topics: Quantitative Finance, Game Theory, Economics, Social and Behav. Sciences, Econometrics