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

Livre 3 sur 7: Elements in Quantitative Finance

Nyholm, Ken

 
9781108972123: A Practitioner's Guide to Discrete-Time Yield Curve Modelling
Couverture souple
ISBN 10 : 1108972128 ISBN 13 : 9781108972123
Editeur : Cambridge University Press, 2021

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
Cambridge University Press
Date d'édition
2021
Langue
anglais
ISBN 10 
1108972128
ISBN 13 
9781108972123
Reliure
Broché
Nombre de pages
152
Coordonnées du fabricant
non disponible
Personne responsable
Avery
https://www.avery.fr/

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