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Yield Curves and Forward Curves for Diffusion Models of Short Rates (Hardcover, 1st ed. 2019) Loot Price: R3,558
Discovery Miles 35 580
Yield Curves and Forward Curves for Diffusion Models of Short Rates (Hardcover, 1st ed. 2019): Gennady A. Medvedev

Yield Curves and Forward Curves for Diffusion Models of Short Rates (Hardcover, 1st ed. 2019)

Gennady A. Medvedev

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Loot Price R3,558 Discovery Miles 35 580 | Repayment Terms: R333 pm x 12*

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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.

General

Imprint: Springer Nature Switzerland AG
Country of origin: Switzerland
Release date: May 2019
First published: 2019
Authors: Gennady A. Medvedev
Dimensions: 235 x 155mm (L x W)
Format: Hardcover
Pages: 230
Edition: 1st ed. 2019
ISBN-13: 978-3-03-015499-8
Categories: Books > Business & Economics > Economics > Econometrics > General
Books > Business & Economics > Finance & accounting > Finance > General
Books > Money & Finance > General
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LSN: 3-03-015499-8
Barcode: 9783030154998

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