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A Practitioners Guide To Discretetime Yield Curve Modelling With Empirical Illustrations And Matlab Examples Ken Nyholm

SKU: BELL-22004082

$ 31.00 ~~$ 45.00~~ (-31%)

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A Practitioners Guide To Discretetime Yield Curve Modelling With Empirical Illustrations And Matlab Examples Ken Nyholm instant download after payment.

Publisher: Cambridge University Press

File Extension: PDF

File size: 4.16 MB

Pages: 152

Author: Ken Nyholm

ISBN: 9781108972123, 9781108975537, 1108972128, 1108975534

Language: English

Year: 2021

Product desciption

A Practitioners Guide To Discretetime Yield Curve Modelling With Empirical Illustrations And Matlab Examples Ken Nyholm by Ken Nyholm 9781108972123, 9781108975537, 1108972128, 1108975534 instant download after payment.

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.