On the term structure of interest rates

Term Structure of Interest Rates

I nterest rates and their dynamics provide probably the most computationally difficult part of the modern financial theory. The modern fixed income market includes not only bonds but all kinds of derivative securities sensitive to interest rates. Moreover interest rates are important in pricing all other market securities since they are used in time discounting. Interest rates are also importan...

Term Structure of Interest Rates

In this survey, firstly I describe the fundamentals of interest rates and yield curves. After required background information for the term structure is established, I move on the main subject of this survey: Term Structure of Interest Rates. We can define the term structure of interest rates as calculation of the relation between the yields on default-free securities which only differ in their ...

On the Geometry of the Term Structure of Interest Rates

We present recently developed geometric methods for the analysis of finite dimensional term structure models of the interest rates. This includes an extension of the Frobenius theorem for Fréchet spaces in particular. This approach puts new light on many of the classical models, such as the Hull-White extended Vasicek and Cox-Ingersoll-Ross short rate models. The notion of a finite dimensional ...

the structure of lie derivations on c*-algebras

نشان می دهیم که هر اشتقاق لی روی یک c^*-جبر به شکل استاندارد است، یعنی می تواند به طور یکتا به مجموع یک اشتقاق لی و یک اثر مرکز مقدار تجزیه شود. کلمات کلیدی: اشتقاق، اشتقاق لی، c^*-جبر.

Essays on the term structure of interest rates