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 (06 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.