Name: Yield Curves and Forward Curves for Diffusion Models of Short Rates
Price: 1903.00 ZAR
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Author: Medvedev, Gennady A.
ISBN: 9783030155025

portada Yield Curves and Forward Curves for Diffusion Models of Short Rates

Yield Curves and Forward Curves for Diffusion Models of Short Rates

Type

Physical Book

Author

Gennady A. Medvedev

Publisher

Springer

Language

English

Pages

230

Format

Paperback

Dimensions

23.4 x 15.6 x 1.4 cm

Weight

0.36 kg.

ISBN13

9783030155025

Synopsis "Yield Curves and Forward Curves for Diffusion Models of Short Rates "

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

Synopsis "Yield Curves and Forward Curves for Diffusion Models of Short Rates "

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