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Practitioner's Guide to Discrete-Time Yield Curve Modelling

Ken Nyholm
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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.
      Format: CONTRIBUTORS: Ken Nyholm EAN: 9781108972123 COUNTRY: United Kingdom PAGES: WEIGHT: 240 g HEIGHT: 229 cm
      PUBLISHED BY: Cambridge University Press DATE PUBLISHED: 2021-01-07 CITY: GENRE: BUSINESS & ECONOMICS / Finance / General WIDTH: 151 cm SPINE:

      Book Themes:

      Finance and the finance industry, Mathematical modelling, Mathematical and statistical software

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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.
      Format: CONTRIBUTORS: Ken Nyholm EAN: 9781108972123 COUNTRY: United Kingdom PAGES: WEIGHT: 240 g HEIGHT: 229 cm
      PUBLISHED BY: Cambridge University Press DATE PUBLISHED: 2021-01-07 CITY: GENRE: BUSINESS & ECONOMICS / Finance / General WIDTH: 151 cm SPINE:

      Book Themes:

      Finance and the finance industry, Mathematical modelling, Mathematical and statistical software

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      Be the first to write a review
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