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A Practitioner's Guide to Discrete-Time Yield Curve Modelling: With Empirical Illustrations and MATLAB Examples
Paperback / softback
Main Details
| Title |
A Practitioner's Guide to Discrete-Time Yield Curve Modelling: With Empirical Illustrations and MATLAB Examples
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| Authors and Contributors |
By (author) Ken Nyholm
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| Series | Elements in Quantitative Finance |
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| Physical Properties |
| Format:Paperback / softback | | Pages:75 | | Dimensions(mm): Height 229,Width 151 |
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| Category/Genre | Finance |
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| ISBN/Barcode |
9781108972123
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| Classifications | Dewey:332.6323 |
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| Audience | | Professional & Vocational | |
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| Illustrations |
Worked examples or Exercises
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Publishing Details |
| Publisher |
Cambridge University Press
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| Imprint |
Cambridge University Press
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| Publication Date |
7 January 2021 |
| Publication Country |
United Kingdom
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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.
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