A Practitioner's Guide to Discrete-Time Yield Curve Modelling : With Empirical Illustrations and MATLAB Examples Paperback / softback
by Ken (European Central Bank, Frankfurt) Nyholm
Part of the Elements in Quantitative Finance series
Paperback / softback
- Information
Description
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.
Information
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Out of StockMore expected soonContact us for further information
- Format:Paperback / softback
- Pages:75 pages, Worked examples or Exercises
- Publisher:Cambridge University Press
- Publication Date:07/01/2021
- Category:
- ISBN:9781108972123
Information
-
Out of StockMore expected soonContact us for further information
- Format:Paperback / softback
- Pages:75 pages, Worked examples or Exercises
- Publisher:Cambridge University Press
- Publication Date:07/01/2021
- Category:
- ISBN:9781108972123
