Gennady A. Medvedev Yield Curves and Forward Curves for Diffusion Models of Short Rates 9783030154998

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Автор: Gennady A. Medvedev
Название: Yield Curves and Forward Curves for Diffusion Models of Short Rates
ISBN: 9783030154998
Издательство: Springer
Классификация:

ISBN-10: 3030154998
Обложка/Формат: Hardcover
Страницы: 230
Вес: 0.55 кг.
Дата издания: 2019
Язык: English
Издание: 1st ed. 2019
Иллюстрации: 9 illustrations, color; 49 illustrations, black and white; xxiv, 230 p. 58 illus., 9 illus. in color.
Размер: 234 x 156 x 16
Читательская аудитория: Professional & vocational
Основная тема: Mathematics
Ссылка на Издательство: Link
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Поставляется из: Германии
Описание:

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.

Дополнительное описание: Preface.- Introduction.- 1.The processes of short-term interest rates and their probability densities.- 2.The term structure of interest rates.- 3.The Vasi?ek model.- 4.The Cox-Ingersoll-Ross model.- 5.The Duffie-Kan one-factor model.- 6.The Duffie–Kan t

Yield Curves and Forward Curves for Diffusion Models of Short Rates, Gennady A. Medvedev