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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.

Zero coupon securities. --- Bonds, Zero coupon --- Liquid yield option notes --- Zero coupon bonds --- Zeros (Securities) --- Securities --- Finance. --- Mathematics. --- Econometrics. --- Quantitative Finance. --- Game Theory, Economics, Social and Behav. Sciences. --- Economics, Mathematical --- Statistics --- Math --- Science --- Funding --- Funds --- Economics --- Currency question --- Economics, Mathematical . --- Game theory. --- Games, Theory of --- Theory of games --- Mathematical models --- Mathematics --- Mathematical economics --- Econometrics --- Methodology

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"The economic crisis of 2008 has shown that the capital markets need new theoretical and mathematical concepts to describe and price financial instruments. Focusing almost exclusively on interest rates and coupon bonds, this book does not employ stochastic calculus - the bedrock of the present day mathematical finance - for any of the derivations. Instead, it analyzes interest rates and coupon bonds using quantum finance. The Heath-Jarrow-Morton and the Libor Market Model are generalized by realizing the forward and Libor interest rates as an imperfectly correlated quantum field. Theoretical models have been calibrated and tested using bond and interest rates market data. Building on the principles formulated in the author's previous book (Quantum Finance, Cambridge University Press, 2004) this ground-breaking book brings together a diverse collection of theoretical and mathematical interest rate models. It will interest physicists and mathematicians researching in finance, and professionals working in the finance industry"--Provided by publisher.

Finance --- Interest rates --- Zero coupon securities --- 305.91 --- 333.605 --- 333.642 --- AA / International- internationaal --- Bonds, Zero coupon --- Liquid yield option notes --- Zero coupon bonds --- Zeros (Securities) --- Securities --- Money market rates --- Rate of interest --- Rates, Interest --- Interest --- Funding --- Funds --- Economics --- Currency question --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Nieuwe financiële instrumenten --- Termijn. Financial futures --- Interest rates. --- Zero coupon securities. --- Finance.