Yield Curves and Forward Curves for Diffusion Models of Short Rates by Gennady A. Medvedev
English | EPUB (True) | 2019 | 230 Pages | ISBN : 3030154998 | 13.3 MB
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.