A Practitioner's Guide to Discrete-Time Yield Curve Modelling
A Practitioner's Guide to Discrete-Time Yield Curve Modelling
With Empirical Illustrations and MATLAB Examples
Paperback
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.
Product details
No date availablePaperback
9781108972123
152 pages
229 × 151 × 9 mm
0.24kg
Table of Contents
- 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.
Displaying 1 - 1 of 1
CUP_APG2YCM_MATLAB.zip
Size: 1.31 MB
Type: application/zip
