Yield Curves and Forward Curves for Diffusion Models of Short Rates

By Gennady A Medvedev

Book Overview

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.

• Format: Paperback
• Language: English
• ISBN: 3030155021
• ISBN13: 9783030155025
• Release Date: August 2020
• Publisher: Springer
• Length: 230 Pages
• Weight: 0.80 lbs.
• Dimensions: 0.5" x 6.1" x 9.2"