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https://elib.bsu.by/handle/123456789/52089| Title: | Multifactor models of term structure of yield for zero coupon bonds |
| Authors: | Medvedev, G. A. |
| Keywords: | ЭБ БГУ::ЕСТЕСТВЕННЫЕ И ТОЧНЫЕ НАУКИ::Кибернетика |
| Issue Date: | 2013 |
| Publisher: | Minsk : Publ. center of BSU |
| Citation: | Computer Data Analysis and Modeling: Theoretical and Applied Stochastics : Proc. of the Tenth Intern. Conf., Minsk, Sept. 10–14, 2013. Vol 2. — Minsk, 2013. - P. 167-172 |
| Abstract: | Properties of such characteristics of term structure of interest rates as yield curve and forward rates in a case when the affine model of yield is used are discussed. Unlike known approaches are analyzed not only one-factor, but also multifactor models. Be-sides, it is considered not only a range short terms and mean terms to maturity of as-sets, but also long terms. It is offered to use a duration riskless rates as a time variable. It gives the possibility to compare the yield and forward curves on all interval of change of terms to maturity of assets. |
| URI: | http://elib.bsu.by/handle/123456789/52089 |
| Appears in Collections: | Статьи факультета прикладной математики и информатики 2013. Computer Data Analysis and Modeling. Vol 2 Vol. 2 |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 167-172.pdf | 442,62 kB | Adobe PDF | View/Open |
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