Yield Curves and Forward Curves for Diffusion Models of Short Rates
Authors: Medvedev, Gennady A.
Free Preview- 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
Buy this book
- 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)
-
-
The Processes of Short-Term Interest Rates and Their Probability Densities
Pages 1-18
-
The Term Structure of Interest Rates
Pages 19-26
-
The Vasiček Model
Pages 27-39
-
The Cox–Ingersoll–Ross Model
Pages 41-69
-
The Duffie–Kan One-Factor Model
Pages 71-91
-
Table of contents (11 chapters)
Recommended for you
Bibliographic Information
- Bibliographic Information
-
- Book Title
- Yield Curves and Forward Curves for Diffusion Models of Short Rates
- Authors
-
- Gennady A. Medvedev
- 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
