Yield Curves and Forward Curves for Diffusion Models of Short Rates

DOI10.1007/978-3-030-15500-1zbMath1422.91022OpenAlexW2945945001MaRDI QIDQ5376858

G. A. Medvedev

Publication date: 20 May 2019

Full work available at URL: https://doi.org/10.1007/978-3-030-15500-1

zbMATH Keywords

interest ratediffusion modelderivative pricingyield curveforward rate

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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