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Yield Curves and Forward Curves for Diffusion Models of Short Rates

By: Gennady A. Medvedev (Author)

Extended Catalogue

Ksh 25,100.00

Format: Hardback or Cased Book

ISBN-10: 3030154998

ISBN-13: 9783030154998

Edition statement: 2019 ed.

Publisher: Springer Nature Switzerland AG

Imprint: Springer Nature Switzerland AG

Country of Manufacture: CH

Country of Publication: GB

Publication Date: May 29th, 2019

Publication Status: Active

Product extent: 230 Pages

Product Classification / Subject(s): Econometrics
Finance

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This book is dedicated to the study of the term structures of the yields of zero-coupon bonds. 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.

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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