A Practitioner's Guide to Discrete-Time Yield Curve Modelling
With Empirical Illustrations and MATLAB Examples
Published on 24. February 2021
978-1-108-98230-6 (ISBN)
Description
This Element is intended for students and practitioners as a gentle and intuitive introduction to the ?eld 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.
More details
Series
Language
English
Place of publication
Cambridge
United Kingdom
Target group
Professional and scholarly
Illustrations
Worked examples or Exercises
File size
4,08 MB
ISBN-13
978-1-108-98230-6 (9781108982306)
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Schweitzer Classification
Other editions
Additional editions
Ken Nyholm
A Practitioner's Guide to Discrete-Time Yield Curve Modelling
With Empirical Illustrations and MATLAB Examples
Book
01/2021
Cambridge University Press
€24.00
Shipment within 15-20 days
Person
Content
1. Empirical analysis of term structure data; 2. P and Q measures; 3. The basic yield curve modelling set-up; 4. Modelling yields under the Q-measure; 5. Model implementation; 6. Scenario generation; Appendix: on the included MATLAB codes and scripts; References.
