Yield Curves and Forward Curves for Diffusion Models of Short Rates

  • Gennady A. Medvedev

Table of contents

  1. Front Matter
    Pages i-xxiv
  2. Gennady A. Medvedev
    Pages 19-26
  3. Gennady A. Medvedev
    Pages 27-39
  4. Gennady A. Medvedev
    Pages 41-69
  5. Gennady A. Medvedev
    Pages 71-91
  6. Gennady A. Medvedev
    Pages 93-114
  7. Gennady A. Medvedev
    Pages 115-125
  8. Gennady A. Medvedev
    Pages 127-140
  9. Gennady A. Medvedev
    Pages 179-199
  10. Gennady A. Medvedev
    Pages 201-227
  11. Back Matter
    Pages 229-230

About this book


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 bond term structure of interest rates mathematical models of yield diffusion models of interest rate processes no-arbitrage conditions yield curves forward curves

Authors and affiliations

  • Gennady A. Medvedev
    • 1
  1. 1.Belarusian State UniversityMinskBelarus

Bibliographic information