Ken Nyholm,
Ken (European Central Bank, Frankfurt) Nyholm
A Practitioner's Guide to Discrete-Time Yield Curve Modelling
With Empirical Illustrations and MATLAB Examples
Paperback Engels 2021 9781108972123
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
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.
Specificaties
ISBN13:9781108972123
Taal:Engels
Bindwijze:Paperback
Aantal pagina's:75
Uitgever:Cambridge University Press
Serie:Elements in Quantita
Lezersrecensies
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Inhoudsopgave
1. Empirical analysis of term structure data; 2. P and Q measures; 3. The basic yield curve modelling set-up; 4. Modelling yields under the Q-measure; 5. Model implementation; 6. Scenario generation; Appendix: on the included MATLAB codes and scripts; References.
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