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
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  • 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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About this book

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.



About the authors

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)

Buy this book

eBook $84.99
price for Mexico
  • ISBN 978-3-030-15500-1
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • Immediate eBook download after purchase and usable on all devices
  • Bulk discounts available
Hardcover $109.99
price for Mexico
Softcover $79.99
price for Mexico
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Bibliographic Information

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
eBook ISBN
978-3-030-15500-1
DOI
10.1007/978-3-030-15500-1
Hardcover ISBN
978-3-030-15499-8
Softcover ISBN
978-3-030-15502-5
Edition Number
1
Number of Pages
XXIV, 230
Number of Illustrations
49 b/w illustrations, 9 illustrations in colour
Topics