| 000 | 01962nam a2200349 i 4500 | ||
|---|---|---|---|
| 001 | CR9781108975537 | ||
| 003 | UkCbUP | ||
| 005 | 20240807115158.0 | ||
| 006 | m|||||o||d|||||||| | ||
| 007 | cr|||||||||||| | ||
| 008 | 200814s2020||||enk o ||1 0|eng|d | ||
| 020 | _a9781108975537 (ebook) | ||
| 020 | _z9781108972123 (paperback) | ||
| 040 |
_aUkCbUP _beng _erda _cUkCbUP |
||
| 050 | 4 |
_aHG4651 _b.N94 2020 |
|
| 082 | 0 | 4 |
_a332.6323 _223 |
| 100 | 1 |
_aNyholm, Ken, _eauthor. |
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| 245 | 1 | 2 |
_aA practitioner's guide to discrete-time yield curve modelling : _bwith empirical illustrations and MATLAB examples / _cKen Nyholm. |
| 264 | 1 |
_aCambridge : _bCambridge University Press, _c2020. |
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| 300 |
_a1 online resource (143 pages) : _bdigital, PDF file(s). |
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| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_acomputer _bc _2rdamedia |
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| 338 |
_aonline resource _bcr _2rdacarrier |
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| 490 | 1 |
_aCambridge elements. Elements in quantitative finance, _x2631-8571 |
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| 500 | _aTitle from publisher's bibliographic system (viewed on 11 Jan 2021). | ||
| 520 | _aThis 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. | ||
| 650 | 0 |
_aBonds _xMathematical models. |
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| 776 | 0 | 8 |
_iPrint version: _z9781108972123 |
| 830 | 0 |
_aCambridge elements. _pElements in quantitative finance, _x2631-8571. |
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| 856 | 4 | 0 | _uhttps://doi.org/10.1017/9781108975537 |
| 942 |
_2ddc _cEB |
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| 999 |
_c9342 _d9342 |
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