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Yield Curves and Forward Curves for Diffusion Models of Short Rates

Af: Gennady A. Medvedev Engelsk Paperback

Yield Curves and Forward Curves for Diffusion Models of Short Rates

Af: Gennady A. Medvedev Engelsk Paperback
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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.



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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.



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Produktdetaljer
Sprog: Engelsk
Sider: 230
ISBN-13: 9783030155025
Indbinding: Paperback
Udgave:
ISBN-10: 3030155021
Kategori: Økonometri og økonomisk statistik
Udg. Dato: 14 aug 2020
Længde: 0mm
Bredde: 155mm
Højde: 235mm
Forlag: Springer Nature Switzerland AG
Oplagsdato: 14 aug 2020
Forfatter(e): Gennady A. Medvedev
Forfatter(e) Gennady A. Medvedev

Kategori Økonometri og økonomisk statistik

ISBN-13 9783030155025

Sprog Engelsk

Indbinding Paperback

Sider 230

Udgave

Længde 0mm

Bredde 155mm

Højde 235mm

Udg. Dato 14 aug 2020

Oplagsdato 14 aug 2020

Forlag Springer Nature Switzerland AG