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

A Practitioner's Guide to Discrete-Time Yield Curve Modelling
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  • eBook:
    A Practitioner's Guide to Discrete-Time Yield Curve Modelling: With Empirical Illustrations and MATLAB Examples
  • Author:
    Ken Nyholm
  • Edition:
    -
  • Categories:
  • Data:
    January 7, 2021
  • ISBN:
    1108972128
  • ISBN-13:
    9781108972123
  • Language:
    English
  • Pages:
    75 pages
  • Format:
    PDF

Book Description
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.

Content

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

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