A Practitioner's Guide to Discrete-Time Yield Curve Modelling : With Empirical Illustrations and MATLAB Examples
by
Ken Nyholm
Book Details
Format
Paperback / Softback
Book Series
Elements in Quantitative Finance
ISBN-10
1108972128
ISBN-13
9781108972123
Publisher
Cambridge University Press
Imprint
Cambridge University Press
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Jan 7th, 2021
Print length
152 Pages
Weight
236 grams
Dimensions
15.20 x 22.90 x 1.30 cms
Product Classification:
FinanceMathematical modellingMathematical & statistical software
Ksh 3,350.00
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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.
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.
Get A Practitioner's Guide to Discrete-Time Yield Curve Modelling by at the best price and quality guaranteed only at Werezi Africa's largest book ecommerce store. The book was published by Cambridge University Press and it has pages.
