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Series:   Elements in Quantitative Finance

A Practitioner's Guide to Discrete-Time Yield Curve Modelling

With Empirical Illustrations and MATLAB Examples

Published online by Cambridge University Press:  03 December 2020

Ken Nyholm
Ken Nyholm
Affiliation:
European Central Bank, Frankfurt

Summary

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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Keywords

yield curve modellingdiscrete-timearbitrage-free modelsNelson-Siegel type models
Type
Element
Information
Series: Elements in Quantitative Finance
Online ISBN: 9781108975537
Publisher: Cambridge University Press
Print publication: 07 January 2021

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A Practitioner's Guide to Discrete-Time Yield Curve Modelling
  • Ken Nyholm, European Central Bank, Frankfurt
  • Online ISBN: 9781108975537
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A Practitioner's Guide to Discrete-Time Yield Curve Modelling
  • Ken Nyholm, European Central Bank, Frankfurt
  • Online ISBN: 9781108975537
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A Practitioner's Guide to Discrete-Time Yield Curve Modelling
  • Ken Nyholm, European Central Bank, Frankfurt
  • Online ISBN: 9781108975537
Available formats
×