Ken Nyholm (Frankfurt European Central Bank)

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

With Empirical Illustrations and MATLAB Examples

• Broschiertes Buch

Produktbeschreibung

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.

Produktdetails

• Elements in Quantitative Finance
• Verlag: Cambridge University Press
• Seitenzahl: 152
• Erscheinungstermin: 7. Januar 2021
• Englisch
• Abmessung: 224mm x 150mm x 11mm
• Gewicht: 236g
• ISBN-13: 9781108972123
• ISBN-10: 1108972128
• Artikelnr.: 60477866

Inhaltsangabe

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.