Titre: Practitioner's Guide to Discrete-time Yield Curve Modelling : With Empirical Illustrations and Matlab Examples
�diteur: Cambridge University Press
Date de parution: 2021
Langue: anglais
ISBN � 10 chiffres: 1108972128
ISBN � 13 chiffres: 9781108972123
Reliure: Couverture souple
�tat de l'article: As New

A propos de ce titre

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 � A propos du livre � peuvent faire r�f�rence � une autre �dition de ce titre.

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