A Practitioner's Guide to Discrete-Time Yield Curve Modelling
| Author | : Ken Nyholm |
| Publisher | : Cambridge University Press |
| Total Pages | : 152 |
| Release | : 2021-01-07 |
| ISBN-10 | : 9781108982306 |
| ISBN-13 | : 1108982301 |
| Rating | : 4/5 (301 Downloads) |
Download or read book A Practitioner's Guide to Discrete-Time Yield Curve Modelling written by Ken Nyholm and published by Cambridge University Press. This book was released on 2021-01-07 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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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