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.
- ISBN:
- 9781108972123
- 9781108972123
-
Category:
- Finance
- Format:
- Paperback
- Publication Date:
-
31-12-2020
- Publisher:
- Cambridge University Press
- Country of origin:
- United Kingdom
- Pages:
- 152
- Dimensions (mm):
- 229x151x9mm
- Weight:
- 0.24kg
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