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A Practitioner's Guide to Discrete-Time Yield Curve Modelling
With Empirical Illustrations and MATLAB Examples

A comprehensive coverage of yield curve modelling techniques, focussing on the most well-known discrete-time models used by practitioners.

Ken Nyholm (Author)

9781108972123, Cambridge University Press

Paperback / softback, published 7 January 2021

75 pages
22.9 x 15.1 x 0.9 cm, 0.24 kg

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.

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.

Subject Areas: Mathematical & statistical software [UFM], Mathematical modelling [PBWH], Finance [KFF], Economics, finance, business & management [K]

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