A Practitioner's Guide to Discrete-Time Yield Curve Modelling

A Practitioner's Guide to Discrete-Time Yield Curve Modelling
Author :
Publisher : Cambridge University Press
Total Pages : 152
Release :
ISBN-10 : 9781108982306
ISBN-13 : 1108982301
Rating : 4/5 (06 Downloads)

Book Synopsis A Practitioner's Guide to Discrete-Time Yield Curve Modelling by : Ken Nyholm

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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