Yield Curves and Forward Curves for Diffusion Models of Short Rates
| Autor: | Gennady A. Medvedev |
|---|---|
| EAN: | 9783030155001 |
| eBook Format: | |
| Sprache: | Englisch |
| Produktart: | eBook |
| Veröffentlichungsdatum: | 18.05.2019 |
| Kategorie: | |
| Schlagworte: | 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 |
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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.
Gennady A. Medvedev is a professor of physical and mathematical sciences at the Belarusian State University. His research interests are in applied statistical analysis and stochastic financial mathematics. He is the author of 11 monographs and 16 textbooks.
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