Yield Curves and Forward Curves for Diffusion Models of Short Rates

Authors: Medvedev, Gennady A.

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  • 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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イーブック ¥7,299
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  • ISBN 978-3-030-15500-1
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ハードカバー ¥12,635
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • ISBN 978-3-030-15499-8
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  • Usually dispatched within 3 to 5 business days.
この書籍について

This book is dedicated to the study of the term structures of the yields of zero-coupon bonds. The methods it describes differ from those usually found in the literature in that the time variable is not the term to maturity but the interest rate duration, or another convenient non-linear transformation of terms. This makes it possible to consider yield curves not only for a limited interval of term values, but also for the entire positive semiaxis of terms. 

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.



著者について

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.


Table of contents (11 chapters)

Table of contents (11 chapters)

書籍の購入

イーブック ¥7,299
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • ISBN 978-3-030-15500-1
  • ウォーターマーク付、 DRMフリー
  • ファイル形式: EPUB, PDF
  • どの電子書籍リーダーからでもすぐにお読みいただけます。
  • ご購入後、すぐにダウンロードしていただけます。
ハードカバー ¥12,635
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • ISBN 978-3-030-15499-8
  • 個人のお客様には、世界中どこでも配送料無料でお届けします。
  • Usually dispatched within 3 to 5 business days.
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書誌情報

Bibliographic Information
Book Title
Yield Curves and Forward Curves for Diffusion Models of Short Rates
Authors
Copyright
2019
Publisher
Springer International Publishing
Copyright Holder
Springer Nature Switzerland AG
イーブック ISBN
978-3-030-15500-1
DOI
10.1007/978-3-030-15500-1
ハードカバー ISBN
978-3-030-15499-8
Edition Number
1
Number of Pages
XXIV, 230
Number of Illustrations
49 b/w illustrations, 9 illustrations in colour
Topics