Yield Curves and Forward Curves for Diffusion Models of Short Rates
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Beschreibung
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.
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.
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
Autor*in
Gennady A. Medvedev
Themen in »Yield Curves and Forward Curves for Diffusion Models of Short Rates«
zero-coupon bond term structure of interest rates mathematical models of yield diffusion models of interest rate processes no-arbitrage conditions yield curves forward curves quantitative finance