000 | 03277nam a22004575i 4500 | ||
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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 | ||
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_a9783030155001 _9978-3-030-15500-1 |
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024 | 7 |
_a10.1007/978-3-030-15500-1 _2doi |
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040 | _cCUS | ||
050 | 4 | _aHB135-147 | |
072 | 7 |
_aKF _2bicssc |
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072 | 7 |
_aMAT003000 _2bisacsh |
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072 | 7 |
_aKF _2thema |
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082 | 0 | 4 |
_a519 _223 |
100 | 1 |
_aMedvedev, Gennady A. _eauthor. _4aut _4http://id.loc.gov/vocabulary/relators/aut |
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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. |
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300 |
_aXXIV, 230 p. 58 illus., 9 illus. in color. _bonline resource. |
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336 |
_atext _btxt _2rdacontent |
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_acomputer _bc _2rdamedia |
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_aonline resource _bcr _2rdacarrier |
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_atext file _bPDF _2rda |
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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 | ||
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_c205871 _d205871 |