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000890527 019__ $$a1105175056
000890527 020__ $$a9783030155001$$q(electronic book)
000890527 020__ $$a3030155005$$q(electronic book)
000890527 020__ $$z9783030154998
000890527 0247_ $$a10.1007/978-3-030-15
000890527 035__ $$aSP(OCoLC)on1101966651
000890527 035__ $$aSP(OCoLC)1101966651$$z(OCoLC)1105175056
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000890527 049__ $$aISEA
000890527 050_4 $$aHG4651.2
000890527 08204 $$a332.63/2$$223
000890527 1001_ $$aMedvedev, Gennady A.,$$eauthor.
000890527 24510 $$aYield curves and forward curves for diffusion models of short rates /$$cGennady A. Medvedev.
000890527 264_1 $$aCham :$$bSpringer,$$c[2019]
000890527 264_4 $$c©2019
000890527 300__ $$a1 online resource :$$billustrations
000890527 336__ $$atext$$btxt$$2rdacontent
000890527 337__ $$acomputer$$bc$$2rdamedia
000890527 338__ $$aonline resource$$bcr$$2rdacarrier
000890527 504__ $$aIncludes bibliographical references and index.
000890527 5050_ $$aIntro; Preface; Chapter 1. The Processes of Short-Term Interest Rates and Their Probability Densities [1-4]; Chapter 2. The Term Structure of Interest Rates [5]; Chapter 3. The Vasiček Model [5, 6]; Chapter 4. The Cox-Ingersoll-Ross Model [7, 8]; Chapter 5. The Duffie-Kan One-Factor Model [9]; Chapter 6. The Duffie-Kan Two-Factor Model [10, 11]; Chapter 7. The Three-Factor Models [12]; Chapter 8. Another Term to Maturity Variable [13]; Chapter 9. The Nelson-Siegel-Svensson No-Arbitrage Yield Curve Models [14-16]; Chapter 10. Quadratic Models of Yield in a Risk-Neutral World [17, 18]
000890527 5058_ $$aChapter 11. Polynomial Models of Yield Term Structures [19, 20]Contents; 1 The Processes of Short-Term Interest Rates and Their Probability Densities; 1.1 Introduction; 1.2 The Vasiček Model; 1.3 The CIR Model; 1.4 The Duffie-Kan Model; 1.5 The Longstaff Model; 1.6 The Ahn-Gao Model; 1.7 The Brennan-Schwartz Model; 1.8 The BDT Model; 1.9 The Aït-Sahalia Model; 1.10 The CKLS Model; 1.11 The Unrestricted Model I; 1.12 The Unrestricted Model II; 1.13 The CEV Model; 1.14 The CIR (1980) Model; 1.15 The Merton Model; 1.16 The Dothan Model; 1.17 The GBM Model; 1.18 Conclusion; References
000890527 5058_ $$a2 The Term Structure of Interest Rates2.1 Introduction; 2.2 The Term Structure Equation; 2.3 The Affine Models; 2.4 Conclusion; References; 3 The Vasiček Model; 3.1 Introduction; 3.2 The Vasiček Model and Its Generalization to the Multifactor Case; 3.3 Yield Curves in Two-Factor Vasiček Models; 3.4 Conclusion; References; 4 The Cox-Ingersoll-Ross Model; 4.1 Introduction; 4.2 The Single-Factor Cox-Ingersoll-Ross Model; 4.3 Generalization of the CIR Model for a Multifactorial Case; 4.4 The Two-Factor Cox-Ingersoll-Ross Model; 4.5 The Longstaff-Schwartz Model
000890527 5058_ $$a4.6 Extension of the Longstaff-Schwartz Model4.7 Numerical Example; 4.8 Conclusion; References; 5 The Duffie-Kan One-Factor Model; 5.1 Introduction; 5.2 The Forward Curve and Yield Curve in the Duffie-Kan Model; 5.3 Properties of the Yield Curve and Forward Curves; 5.4 Conclusion; References; 6 The Duffie-Kan Two-Factor Models; 6.1 Introduction; 6.2 The Two-Factor Model "Rate and Its Local Average" (Small Parameter Method); 6.3 The Two-Factor Model "Rate and Its Instantaneous Variance" (Small Parameter Method); 6.4 The Two-Factor Model "Rate and Its Local Average" (Numerical Approach)
000890527 5058_ $$a6.5 The Two-Factor Model "Rate and Its Instantaneous Variance" (Numerical Approach)6.6 Conclusion; References; 7 The Three Factor Models; 7.1 Introduction; 7.2 Stochastic Volatility of the Process of Level Local Mathematical Expectation; 7.3 The Process of Level Local Mathematical Expectation with Square Root; 7.4 The Gaussian Process of Level Local Mathematical Expectation; 7.5 Conclusion; References; 8 Another Version of the Term to Maturity Variable; 8.1 Introduction; 8.2 The One-Factor Duffie-Kan Model; 8.3 The Two-Factor Models; 8.4 The Three-Factor Models; 8.5 Conclusion; References
000890527 506__ $$aAccess limited to authorized users.
000890527 520__ $$aThis book is dedicated to the study of the term structures of the yields of zero-coupon bonds. The methods it describes differ from those usually found in the literature in that the time variable is not the term to maturity but the interest rate duration, or another convenient non-linear transformation of terms. This makes it possible to consider yield curves not only for a limited interval of term values, but also for the entire positive semiaxis of terms. The main focus is the comparative analysis of yield curves and forward curves and the analytical study of their features. Generalizations of yield term structures are studied where the dimension of the state space of the financial market is increased. In cases where the analytical approach is too cumbersome, or impossible, numerical techniques are used. This book will be of interest to financial analysts, financial market researchers, graduate students and PhD students.
000890527 588__ $$aOnline resource ; title from PDF title page (viewed May 22, 2019).
000890527 650_0 $$aZero coupon securities.
000890527 650_0 $$aRate of return.
000890527 852__ $$bebk
000890527 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-030-15500-1$$zOnline Access$$91397441.1
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