A Practitioner's Guide to Discrete-Time Yield Curve Modelling: With Empirical Illustrations and MATLAB...

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Ken Nyholm (European Central Bank, Frankfurt)

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

With Empirical Illustrations and MATLAB Examples

Ken Nyholm (European Central Bank, Frankfurt)

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English

Cambridge University Press
07 January 2021

Finance; Mathematical modelling; Mathematical & statistical software

Series: Elements in Quantitative Finance

Summary
Details

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.

By: Ken Nyholm (European Central Bank Frankfurt)
Imprint: Cambridge University Press
Country of Publication: United Kingdom
Dimensions: Height: 229mm, Width: 151mm, Spine: 9mm
Weight: 240g
ISBN: 9781108972123
ISBN 10: 1108972128
Series: Elements in Quantitative Finance
Pages: 75
Publication Date: 07 January 2021
Audience: Professional and scholarly , Undergraduate
Format: Paperback
Publisher's Status: Active