A Practitioner's Guide to Discrete-Time Yield Curve Modelling: With Empirical Illustrations and MATLAB Examples (Paperback) (ISBN-13: 9781108972123)

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.

Author: Ken Nyholm
ISBN-10: 1108972128
ISBN-13: 9781108972123
Publisher: Cambridge University Press
Language: English
Published: 01/07/2021
Pages: 75
Format: Paperback
Weight: 0.47lbs
Size: 9.00h x 6.00w x 0.33d