| A Practitioner's Guide to Discrete-Time Yield Curve Modelling: With Empirical Illustrations and MATLAB Examples Contributor(s): Nyholm, Ken (Author) |
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ISBN: 1108972128 ISBN-13: 9781108972123 Publisher: Cambridge University Press OUR PRICE: $20.90 Product Type: Paperback - Other Formats Published: January 2021 |
| Additional Information |
| BISAC Categories: - Business & Economics | Finance - General |
| Physical Information: 0.33" H x 6" W x 9" (0.47 lbs) 152 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |