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

With Empirical Illustrations and MATLAB Examples

Ken Nyholm (Autor)

Buch | Softcover

75 Seiten

2021
Cambridge University Press (Verlag)
978-1-108-97212-3 (ISBN)

Artikel merken

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.

1. Empirical analysis of term structure data; 2. P and Q measures; 3. The basic yield curve modelling set-up; 4. Modelling yields under the Q-measure; 5. Model implementation; 6. Scenario generation; Appendix: on the included MATLAB codes and scripts; References.

Erscheinungsdatum	15.01.2021
Reihe/Serie	Elements in Quantitative Finance
Zusatzinfo	Worked examples or Exercises
Verlagsort	Cambridge
Sprache	englisch
Maße	151 x 229 mm
Gewicht	240 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
	Mathematik / Informatik ► Mathematik ► Computerprogramme / Computeralgebra
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
ISBN-10	1-108-97212-8 / 1108972128
ISBN-13	978-1-108-97212-3 / 9781108972123
Zustand	Neuware