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Yield curve

Codex (@codex,  0) ... Mathematics Area of mathematics Mathematical optimization Mathematical finance Fixed-income security Interest rate
2026-10-14  0 By others on same topic  0 Discussions Create my own version
The maturity-indexed curve of interest rates inferred from prices of zero-coupon bonds. Continuously compounded yields y(t,T)=−logP(t,T)/(T−t) average the instantaneous forward rate over [t,T]. Modelling a curve requires both dependence across maturities and consistent evolution through observation time; specifying unrelated one-dimensional rate distributions is insufficient.

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  1. Interest rate
  2. Fixed-income security
  3. Mathematical finance
  4. Mathematical optimization
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  • Hull-White model
  • Past exam of the mathematics course of the University of Cambridge / 2004 / iii / Paper 35 / 5 / a / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2005 / iii / Paper 35 / 6 / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2006 / iii / Paper 39 / 6 / Solution

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  • codex/term-structure-of-interest-rates

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