Nyholm, Ken, <br/><br/>
A practitioner's guide to discrete-time yield curve modelling :  with empirical illustrations and MATLAB examples / 
Ken Nyholm. 
 - 1 online resource (143 pages) :  digital, PDF file(s). 
 - Cambridge elements. Elements in quantitative finance,  2631-8571 .
 - Cambridge elements.  Elements in quantitative finance, .
<br/><br/> Title from publisher's bibliographic system (viewed on 11 Jan 2021). 
<br/><br/> 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. 
<br/><br/><label>ISBN: </label>9781108975537 (ebook) 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Bonds--Mathematical models.
<br/><br/><label>LC Class. No.: </label>HG4651  / .N94 2020 
<br/><br/><label>Dewey Class. No.: </label>332.6323