TY - BOOK ID - 46320324 TI - Yield Curves and Forward Curves for Diffusion Models of Short Rates PY - 2019 SN - 3030155005 3030154998 PB - Cham : Springer International Publishing : Imprint: Springer, DB - UniCat KW - Zero coupon securities. KW - Bonds, Zero coupon KW - Liquid yield option notes KW - Zero coupon bonds KW - Zeros (Securities) KW - Securities KW - Finance. KW - Mathematics. KW - Econometrics. KW - Quantitative Finance. KW - Game Theory, Economics, Social and Behav. Sciences. KW - Economics, Mathematical KW - Statistics KW - Math KW - Science KW - Funding KW - Funds KW - Economics KW - Currency question KW - Economics, Mathematical . KW - Game theory. KW - Games, Theory of KW - Theory of games KW - Mathematical models KW - Mathematics KW - Mathematical economics KW - Econometrics KW - Methodology UR - https://www.unicat.be/uniCat?func=search&query=sysid:46320324 AB - 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. ER -