A practitioner's guide to discrete-time yield curve modelling : with empirical illustrations and MATLAB examples /

Weitere Versionen (2)

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 additio...

Ausführliche Beschreibung

Gespeichert in:
1. Verfasser:
Nyholm, Ken
Format:
Elektronisch E-Book
Sprache:
Englisch
Veröffentlicht:
Cambridge : Cambridge University Press, 2020.
Ausgabe:
1st ed.
Zusammenfassung:
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.
Umfang:
1 online resource (143 pages) : digital, PDF file(s).
Anmerkungen:
Title from publisher's bibliographic system (viewed on 11 Jan 2021).
ISBN:
1-108-98230-1
1-108-97553-4
ISSN:
2631-8571
Schlagworte:
Bonds > Mathematical models.
Bezugswerke:
Links:
Hinweis zum Online-Zugang:
Testnotiz 1