£56.23

Springer Yield Curves and Forward Curves for Diffusion Models of Short Rates

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£89.08 £45.52 £55.02 £64.53 £74.03 £83.54 £93.04 09 June 2024 09 November 2024 11 April 2025 11 September 2025 11 February 2026

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Description

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.

Product Specifications

Format
Hardcover
Domain
Amazon UK
Release Date
29 May 2019
Listed Since
12 February 2019

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