Yield Curves and Forward Curves for Diffusion Models of Short Rates

Yield Curves and Forward Curves for Diffusion Models of Short Rates by Gennady A. Medvedev.

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 transformat...

Full description

Saved in:
Bibliographic Details
Main Author: Medvedev, Gennady A. (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Cham : Springer International Publishing : Imprint: Springer, 2019.
Edition:1st ed. 2019.
Series:Springer eBook Collection.
Subjects:
Economics, Mathematical .
Game theory.
Econometrics.
Electronic resources (E-books)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Table of Contents:
  • Preface
  • 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. .

Similar Items