A Practitioner's Guide to Discrete-Time Yield Curve Modelling

With Empirical Illustrations and MATLAB Examples

A Practitioner's Guide to Discrete-Time Yield Curve Modelling
Ken Nyholm
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Paperback
Not defined - 75pg
7 Jan 2021 UK
International import eta 7-19 days
9781108972123
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This Element is intended for students and practitioners as a gentle and intuitive introduction to the field of discrete-time yield curve modelling. I strive to be as comprehensive as possible, while still adhering to the overall premise of putting a strong focus on practical applications. In addition to a thorough description of the Nelson-Siegel family of model, the Element contains a section on the intuitive relationship between P and Q measures, one on how the structure of a Nelson-Siegel model can be retained in the arbitrage-free framework, and a dedicated section that provides a detailed explanation for the Joslin, Singleton, and Zhu (2011) model.

A Practitioner's Guide to Discrete-Time Yield Curve Modelling: With Empirical Illustrations and MATLAB Examples

Status: Active
ISBN-13: 9781108972123
Published: 7 Jan 2021
Published In: United Kingdom
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Format: Paperback
Weight: 214g
Pages: 75

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