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001 978-3-030-15500-1
003 DE-He213
005 20200812131522.0
007 cr nn 008mamaa
008 190518s2019 gw | s |||| 0|eng d
020 _a9783030155001
_9978-3-030-15500-1
024 7 _a10.1007/978-3-030-15500-1
_2doi
040 _cCUS
050 4 _aHB135-147
072 7 _aKF
_2bicssc
072 7 _aMAT003000
_2bisacsh
072 7 _aKF
_2thema
082 0 4 _a519
_223
100 1 _aMedvedev, Gennady A.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
245 1 0 _aYield Curves and Forward Curves for Diffusion Models of Short Rates
_h[electronic resource] /
_cby Gennady A. Medvedev.
250 _a1st ed. 2019.
264 1 _aCham :
_bSpringer International Publishing :
_bImprint: Springer,
_c2019.
300 _aXXIV, 230 p. 58 illus., 9 illus. in color.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
505 0 _aPreface -- Introduction -- 1.The processes of short-term interest rates and their probability densities -- 2.The term structure of interest rates -- 3.The Vasiček model -- 4.The Cox-Ingersoll-Ross model -- 5.The Duffie-Kan one-factor model -- 6.The Duffie–Kan two-factor models -- 7.The three-factor models -- 8.Another version of the term to maturity variable -- 9.The Nelson–Siegel–Svensson no-arbitrage yield curve model -- 10.Quadratic models of yield in a risk-neutral world -- 11.Polynomial models of yield term structure -- References. .
520 _aThis 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.
650 0 _aEconomics, Mathematical .
650 0 _aGame theory.
650 0 _aEconometrics.
650 1 4 _aQuantitative Finance.
_0https://scigraph.springernature.com/ontologies/product-market-codes/M13062
650 2 4 _aGame Theory, Economics, Social and Behav. Sciences.
_0https://scigraph.springernature.com/ontologies/product-market-codes/M13011
650 2 4 _aEconometrics.
_0https://scigraph.springernature.com/ontologies/product-market-codes/W29010
856 4 0 _uhttps://doi.org/10.1007/978-3-030-15500-1
912 _aZDB-2-SMA
912 _aZDB-2-SXMS
942 _cEBK
999 _c205871
_d205871