Gennady Medvedev

Belarusian State University

Professor

Nezavisimosti avenue, 4-326

Minsk, 220030

Belarus

http://www.bsu.by

SCHOLARLY PAPERS

27

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CROSSREF CITATIONS

10

Scholarly Papers (27)

1.

Mathematical Properties of Option Pricing Under Gamma Distribution Process

Number of pages: 11 Posted: 20 Aug 2009 Last Revised: 17 Nov 2014
Andrey Bogomolov and Gennady Medvedev
PRMIA and Belarusian State University
Downloads 230 (143,022)

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option pricing model, gamma distribution, risk neutral probability density function, objective probability density function, European call option, Escher transformation

2.

On Term Structure of Yield Rates. 2. The Cox – Ingersoll – Ross Model

Tomsk State University Journal of Control and Computer Science. 2012. No. 2(19). pp. 102-111.
Number of pages: 7 Posted: 20 Jun 2017
Gennady Medvedev
Belarusian State University
Downloads 75 (339,248)

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yield interest rates, affine model, yield curve, forward curve, Vasiček model, Cox – Ingersoll – Ross model

3.

The Processes with Dependent Increments as Mathematical Models of the Interest Rate Processes

10th Intern. AFIR Symposium, Tromsø, pp. 483-505, 2000
Number of pages: 23 Posted: 14 Sep 2009
Gennady Medvedev
Belarusian State University
Downloads 73 (344,427)

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financial data series, mathematical model of interest rate, stochastic processes, stochastic differential equations, correlation functions, time series

4.

On the Nelson-Siegel-Svensson No-Arbitrage Yield Curve Models

Tomsk State University Journal of Control and Computer Science. №3(32). P. 44–55.
Number of pages: 11 Posted: 21 Jun 2017
Gennady Medvedev
Belarusian State University
Downloads 69 (355,223)

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term structure, yield curve, factor model, affine no-arbitrage models, Nelson–Siegel yield model

5.

The Market Price of Risk for Affine Interest Rate Term Structures

6th International AFIR-Colloquium, pp. 913-924, Nuremberg, October 1-31, 1996
Number of pages: 12 Posted: 14 Sep 2009
Samuel H. Cox and Gennady Medvedev
University of Manitoba - Asper School of Business and Belarusian State University
Downloads 68 (358,064)

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Stochastic process, interest rate, bond price, yield to maturity, market price of risk

6.

The Longstaff – Schwartz Model of Yield Term Structure and its Expansion

Number of pages: 10 Posted: 22 Jun 2017
Gennady Medvedev
Belarusian State University
Downloads 64 (369,524)

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yield term structure, short-term interest rate, Longstaff – Schwartz model, system of Riccati equat-ions

7.

Properties of Yield Curves and Forward Curves for Affine Term Structure Models

13th Annual International AFIR Symposium, Vol. 1, pp. 491, Maastricht, 2003
Number of pages: 29 Posted: 14 Sep 2009
Gennady Medvedev
Belarusian State University
Downloads 64 (369,524)

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Affine term structure model, yield interest rate, forward interest rate, yield

8.

On Fitting the Autoregressive Investment Models to Real Financial Data

26th International Congress of Actuaries, Investment, Vol. 7, pp. 187-211, Birmingham, June 1998
Number of pages: 24 Posted: 14 Sep 2009
Gennady Medvedev
Belarusian State University
Downloads 57 (391,335)

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autoregressive investment model, time series, correlation properties

9.

The Forward Rates for Multifactor Model of Term Structure “With Square Root”

Number of pages: 10 Posted: 15 Sep 2009
Gennady Medvedev
Belarusian State University
Downloads 56 (394,676)

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multifactor model of term structure, forward rate curve, volatility of zero coupon yield, affine model, square root model CIR, term structure of long-term forward rates

10.

On Yield Curves of the European Central Bank

Medvedev G. A.On yield curves of the european central bank. Vestnik Tomskogo gosudarstvennogo universiteta. Informatika i vychislitel’naya tekhnika. – Tomsk State University Journal of Control and Computer Science.2017.No. 41. (In Russian), Forthcoming
Number of pages: 8 Posted: 26 Jun 2017
Gennady Medvedev
Belarusian State University
Downloads 55 (398,007)

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yield curve, forward curve, Nelson-Siegel-Svensson model, no arbitrage conditions

11.

The Asset Pricing When the Interest Rates are Differentiable Stochastic Processes

11th Annual International AFIR Symposium, Vol. 2, pp. 517-536, Toronto, 2001
Number of pages: 20 Posted: 20 Dec 2009
Gennady Medvedev
Belarusian State University
Downloads 53 (404,733)

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Interest Rates, Differentiable Stochastic Processes, Vasicek model, asset pricing

12.

The Nelson-Siegel-Svensson Yields. Probability Properties and Estimation

Number of pages: 7 Posted: 21 Jun 2017
Gennady Medvedev
Belarusian State University
Downloads 44 (437,678)

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term structure, yield curve, affine models, Nelson-Siegel-Svensson yield model, Kalman filter

13.

The Explicit Form of No Arbitrage Condition When the Term Structure Model is Multi-Factor

EURO Working Group on Financial Modelling, Trondheim, 2000
Number of pages: 19 Posted: 14 Sep 2009
Gennady Medvedev
Belarusian State University
Downloads 34 (480,193)

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no arbitrage condition, market price of risk, bond price, risk free self-financed portfolio, inflation, segmented market, multi-factor model

14.

On Term Structure of Yield Rates. 3. The Duffie – Kan One-Factor Model

Tomsk State University Journal of Control and Computer Science. 2012. No. 3(20), P. 71 – 80.
Number of pages: 8 Posted: 20 Jun 2017
Gennady Medvedev
Belarusian State University
Downloads 32 (489,724)

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yield interest rates, affine model, yield curve, forward curve, Vasiček model, model CIR, Duffie – Kan model

15.

On Term Structure of Yield Rates. 6. The Three Factor Model

Tomsk State University Journal of Control and Computer Science. 2013. No. 3(24), P. 113 – 122.
Number of pages: 8 Posted: 20 Jun 2017
Gennady Medvedev
Belarusian State University
Downloads 31 (494,646)

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yield interest rates, affine model, yield curve, forward curve, three factor model

16.

The Probability Density of the Processes of Short Interest Rates

Medvedev G. A. (2016)The probability density of the processes ofshortinterest rates.Vestnik Tomskogo gosudarstvennogo universiteta. Informatika i vychislitel’naya tekhnika. –Tomsk State University Journal of Control and Computer Science.№3(36).P.35–48. (In Russian).
Number of pages: 13 Posted: 19 Jun 2017
Gennady Medvedev
Belarusian State University
Downloads 27 (515,882)

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interest rates, the probability density, numerical characteristics

17.

Polynomial Models of Yield Term Structure

Number of pages: 9 Posted: 22 Jun 2017
Gennady Medvedev
Belarusian State University
Downloads 24 (533,347)

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diffusion models of interest rates, drift and diffusion functions, the term structure of yield

18.

On Quadratic Models of Yield in Risk-Neutral World

Number of pages: 11 Posted: 22 Jun 2017
Gennady Medvedev and Dmitriy Pavliv
Belarusian State University and Belarusian State University
Downloads 21 (551,720)

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term structure of interest rate, quadratic models, risk-neutral probability measure

19.

Yield Curves in Two-Factor Vasiček Models

Probability Theory, Mathematical Statistics and Their Applications: The Collection of Scientific Papers, H́ Minsk: RIVSH, p. 136-141, 2014
Number of pages: 6 Posted: 21 Jun 2017
Gennady Medvedev
Belarusian State University
Downloads 21 (551,720)

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Yield Interest Rates, Affine Model, Term Structure Functions, Two-Factor Models

20.

On Term Structure of Yield Rates. 1. Vasiček Model

Medvedev, G.A. (2012) On term structure of yield rates. 1. TheVasicek model. Vestnik Tomskogo gosudarstvennogo universiteta. Informatika i vychislitel'naya tekhnika– Tomsk State University Journal of Control and Computer Science. No.1(18).pp. 102-111. (In Russian).
Number of pages: 8 Posted: 19 Jun 2017
Gennady Medvedev
Belarusian State University
Downloads 21 (551,720)

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yield interest rates, affine model, yield curve, forward curve, Vasiček model

21.

On Term Structure of Yield Rates. 4. The Duffie – Kan Two Factor Model

Medvedev G. A. On term structure of yield rates. 4.The Duffie–Kan two factor model // Vestnik Tomskogo gosudarstvennogo universiteta. Informatika i vychislitel’naya tekhnika. – Tomsk State University Journal of Control and Computer Science. 2012. No.4(21), P.89–99.P. 64–74.(In Russian)
Number of pages: 8 Posted: 22 Jun 2017
Gennady Medvedev
Belarusian State University
Downloads 20 (557,918)

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yield interest rates, affine model, functions of term structure, Duffie-Kan model, small parameter method

22.

On Term Structure of Yield Rates. 7. Another Temporal Variable for Maturities

Medvedev G. A. (2013). On term structure of yield rates. 7. Another temporal variable for maturities. Vestnik Tomskogo gosudarstvennogo universiteta. Informatika i vychislitel’naya tekhnika. – Tomsk State University Journal of Control and Computer Science. №4(25). P. 71–83. (In Russian)
Number of pages: 10 Posted: 20 Jun 2017
Gennady Medvedev
Belarusian State University
Downloads 17 (576,903)

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yield interest rates, affine model, yield curve, forward curve, Duffie–Kan one-factor model, three factor model, Fong – Vasicek two-factor model, Chen three-factor model, BDFS three-factor model

23.

On Term Structure of Yield Rates. 5. The Duffie – Kan Two Factor Model (Continuation).

Medvedev G. A. On term structure of yield rates. 5. The Duffie –Kan two factor model (continuation) Vestnik Tomskogo gosudarstvennogo universiteta. Informatika i vychislitel’naya tekhnika. – Tomsk State University Journal of Control and Computer Science. 2013. No.2(23), P. 64–74.(In Russian)
Number of pages: 9 Posted: 22 Jun 2017
Gennady Medvedev
Belarusian State University
Downloads 16 (583,137)

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yield interest rates, affine model, yield curve, forward curve, Duffie–Kan two factor model

24.

Forward Interest Rates and Volatility of Zero Coupon Yield in Affine Models

14th Annual International AFIR Symposium, Boston, 2004
Number of pages: 30 Posted: 14 Sep 2009
Gennady Medvedev
Belarusian State University
Downloads 16 (583,137)

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forward rate curve, volatility of zero coupon yield, affine model, Vasiček’s Gaussian model, square root model CIR, term structure of long-term forward rates

25.

About One Quadratic Model of Yield Term Structure

Medvedev G. A. About One Quadratic Model of Yield Term Structure/Vestnik Tomskogo gosudarstvennogo universiteta. Informatika i vychislitel’naya tekhnika. – Tomsk State University Journal of Control and Computer Science. 2017. № 38. P. 24–29 (In Russian)
Number of pages: 6 Posted: 21 Jun 2017
Gennady Medvedev
Belarusian State University
Downloads 14 (596,271)

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time yield structure, quadratic model, risk neutral probability measure, Duffie – Kan affine model

26.

Financial Safety Inequalities Based on Expected Risks for Credit Institutions

5th International AFIR (Approach for FInancial Risks) Symposium, Vol. 2. pp. 511–518, Bruxelles, 1995
Number of pages: 8 Posted: 14 Sep 2009
Gennady Medvedev
Belarusian State University
Downloads 13 (602,869)

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credit, expected risk, probability of loan repayment, boundary

27.

About One Family of Nonaffine Models of Yield Term Structure

Tomsk State University Journal of Control and Computer Science. 2018. No. 43. Forthcoming
Number of pages: 11 Posted: 30 Jan 2018
Gennady Medvedev
Belarusian State University
Downloads 7 (643,849)

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equation of term structure of yield, price of zero-coupon bond, CIR(1980) model, Ahn-Gao model, yield curve, forward curve