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Yield Curves and Forward Curves for Diffusion Models of Short Rates

  • Book
  • © 2019

Overview

Authors:
  1. Gennady A. Medvedev

    1. Belarusian State University, Minsk, Belarus

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  • Describes results related to the analytical study of yield term structures and their generalizations with increased state space dimension
  • Focuses on the properties of the yield, not only for limited terms to maturity, but also for the entire interval of all possible such terms
  • Uses numerical techniques when the analytical approach is too cumbersome, or impossible

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Table of contents (11 chapters)

  1. Front Matter

    Pages i-xxiv
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  2. The Processes of Short-Term Interest Rates and Their Probability Densities

    • Gennady A. Medvedev
    Pages 1-18

  3. The Term Structure of Interest Rates

    • Gennady A. Medvedev
    Pages 19-26

  4. The Vasiček Model

    • Gennady A. Medvedev
    Pages 27-39

  5. The Cox–Ingersoll–Ross Model

    • Gennady A. Medvedev
    Pages 41-69

  6. The Duffie–Kan One-Factor Model

    • Gennady A. Medvedev
    Pages 71-91

  7. The Duffie–Kan Two-Factor Models

    • Gennady A. Medvedev
    Pages 93-114

  8. The Three Factor Models

    • Gennady A. Medvedev
    Pages 115-125

  9. Another Version of the Term to Maturity Variable

    • Gennady A. Medvedev
    Pages 127-140

  10. The Nelson–Siegel–Svensson No-Arbitrage Yield Curve Model

    • Gennady A. Medvedev
    Pages 141-177

  11. Quadratic Models of Yield in a Risk-Neutral World

    • Gennady A. Medvedev
    Pages 179-199

  12. Polynomial Models of Yield Term Structure

    • Gennady A. Medvedev
    Pages 201-227

  13. Back Matter

    Pages 229-230
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Keywords

About this book

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.




Authors and Affiliations

  • Belarusian State University, Minsk, Belarus

    Gennady A. Medvedev

About the author

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.


Bibliographic Information

  • Book Title: Yield Curves and Forward Curves for Diffusion Models of Short Rates

  • Authors: Gennady A. Medvedev

  • DOI: https://doi.org/10.1007/978-3-030-15500-1

  • Publisher: Springer Cham

  • eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)

  • Copyright Information: Springer Nature Switzerland AG 2019

  • Hardcover ISBN: 978-3-030-15499-8Published: 29 May 2019

  • Softcover ISBN: 978-3-030-15502-5Published: 14 August 2020

  • eBook ISBN: 978-3-030-15500-1Published: 18 May 2019

  • Edition Number: 1

  • Number of Pages: XXIV, 230

  • Number of Illustrations: 49 b/w illustrations, 9 illustrations in colour

  • Topics: Quantitative Finance, Game Theory, Economics, Social and Behav. Sciences, Econometrics

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