Ken Nyholm

Practitioner's Guide to Discrete-Time Yield Curve Modelling (eBook, PDF)

With Empirical Illustrations and MATLAB Examples

• Format: PDF

Produktbeschreibung

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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Produktdetails

• Verlag: Cambridge University Press
• Erscheinungstermin: 7. Januar 2021
• Englisch
• ISBN-13: 9781108982306
• Artikelnr.: 66181504

Inhaltsangabe

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.