Practitioner's Guide to Discrete-Time Yield Curve Modelling With Empirical Illustrations and MATLAB Examples
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Form:Einzelkauf Download
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Sprache:Englisch
Fr. 17.90
inkl. gesetzl. MwSt.Beschreibung
Produktdetails
Format
Kopierschutz
Ja
Family Sharing
Ja
Text-to-Speech
Nein
Erscheinungsdatum
07.01.2021
Verlag
Cambridge University PressSeitenzahl
(Printausgabe)
Dateigröße
4082 KB
Sprache
Englisch
EAN
9781108982306
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.
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