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A Practitioner's Guide to Discrete-Time Yield Curve Modelling : With Empirical Illustrations and MATLAB Examples.
・ISBN 978-1-108-97212-3 2020 paper GB£ 18.00
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電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-1-108-97553-7
| 著者・編者 | Nyholm, Ken, |
|---|---|
| シリーズ | Elements in Quantitative Finance |
| 出版社 | (Cambridge U. Pr., UK) |
| 出版年月 | 2020.12 |
| ページ数 | 75 pp. |
| 言語 | ENG |
| ニュース番号 | ＜660-L674 660-P1318＞ |
解説
This Element is intended for students and practitioners as a gentle and intuitive introduction to the ?eld 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.