ENGLISH

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

By Ken Nyholm

Book information

Publisher
Cambridge University Press
Year
2021
ISBN
9781108972123, 9781108975537
Language
english
Format
PDF
Filesize
4 MB (4358772 bytes)
Series
Elements in Quantitative Finance
Pages
75\152
Time added
2020-12-11 06:14:33

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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