Ken Nyholm

Practitioner's Guide to Discrete-Time Yield Curve Modelling (eBook, PDF)

With Empirical Illustrations and MATLAB Examples

• Format: PDF

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. 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.

---

Dieser Download kann aus rechtlichen Gründen nur mit Rechnungsadresse in A, B, BG, CY, CZ, D, DK, EW, E, FIN, F, GR, HR, H, IRL, I, LT, L, LR, M, NL, PL, P, R, S, SLO, SK ausgeliefert werden.

Produktdetails

• Verlag: Cambridge University Press
• Erscheinungstermin: 7. Januar 2021
• Englisch
• ISBN-13: 9781108982306
• Artikelnr.: 66181504

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.