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A Practitioner's Guide to Discrete-Time Yield Curve Modelling
- With Empirical Illustrations and MATLAB Examples
Engelsk
Bogcover for A Practitioner's Guide to Discrete-Time Yield Curve Modelling af Ken Nyholm, 9781108972123
Specifikationer
Sprog:
Engelsk
Sider:
152
ISBN-13:
9781108972123
Indbinding:
Paperback
ISBN-10:
1108972128
Udg. Dato:
7 jan 2021
Størrelse i cm:
15,2 x 22,9 x 1,3
Oplagsdato:
7 jan 2021
Forfatter(e):

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

- With Empirical Illustrations and MATLAB Examples
Engelsk
Paperback 2021
Format:

Bog beskrivelse
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.
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Specifikationer
Sprog:
Engelsk
Sider:
152
ISBN-13:
9781108972123
Indbinding:
Paperback
ISBN-10:
1108972128
Udg. Dato:
7 jan 2021
Størrelse i cm:
15,2 x 22,9 x 1,3
Oplagsdato:
7 jan 2021
Forfatter(e):
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