A practitioner's guide to discrete-time yield curve modelling: with empirical illustrations and MATLAB examples
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 additio...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2020
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| Schriftenreihe: | Cambridge elements
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| Schlagworte: | |
| Online-Zugang: | BSB01 UBG01 URL des Erstveröffentlichers |
| Zusammenfassung: | 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 |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 11 Jan 2021) |
| Beschreibung: | 1 Online-Ressource (143 Seiten) |
| ISBN: | 9781108975537 |
| DOI: | 10.1017/9781108975537 |
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Datensatz im Suchindex
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| isbn | 9781108975537 |
| language | English |
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| spelling | Nyholm, Ken 1970- (DE-588)171488679 aut A practitioner's guide to discrete-time yield curve modelling with empirical illustrations and MATLAB examples Ken Nyholm Cambridge Cambridge University Press 2020 1 Online-Ressource (143 Seiten) txt rdacontent c rdamedia cr rdacarrier Cambridge elements Title from publisher's bibliographic system (viewed on 11 Jan 2021) 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 Bonds / Mathematical models Erscheint auch als Druck-Ausgabe 978-1-108-97212-3 https://doi.org/10.1017/9781108975537 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Nyholm, Ken 1970- A practitioner's guide to discrete-time yield curve modelling with empirical illustrations and MATLAB examples Bonds / Mathematical models |
| title | A practitioner's guide to discrete-time yield curve modelling with empirical illustrations and MATLAB examples |
| title_auth | A practitioner's guide to discrete-time yield curve modelling with empirical illustrations and MATLAB examples |
| title_exact_search | A practitioner's guide to discrete-time yield curve modelling with empirical illustrations and MATLAB examples |
| title_exact_search_txtP | A practitioner's guide to discrete-time yield curve modelling with empirical illustrations and MATLAB examples |
| title_full | A practitioner's guide to discrete-time yield curve modelling with empirical illustrations and MATLAB examples Ken Nyholm |
| title_fullStr | A practitioner's guide to discrete-time yield curve modelling with empirical illustrations and MATLAB examples Ken Nyholm |
| title_full_unstemmed | A practitioner's guide to discrete-time yield curve modelling with empirical illustrations and MATLAB examples Ken Nyholm |
| title_short | A practitioner's guide to discrete-time yield curve modelling |
| title_sort | a practitioner s guide to discrete time yield curve modelling with empirical illustrations and matlab examples |
| title_sub | with empirical illustrations and MATLAB examples |
| topic | Bonds / Mathematical models |
| topic_facet | Bonds / Mathematical models |
| url | https://doi.org/10.1017/9781108975537 |
| work_keys_str_mv | AT nyholmken apractitionersguidetodiscretetimeyieldcurvemodellingwithempiricalillustrationsandmatlabexamples |