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A Practitioner's Guide to Discrete-Time Yield Curve Modelling - With Empirical Illustrations and MATLAB Examples (Paperback) Loot Price: R530
Discovery Miles 5 300
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A Practitioner's Guide to Discrete-Time Yield Curve Modelling - With Empirical Illustrations and MATLAB Examples...

A Practitioner's Guide to Discrete-Time Yield Curve Modelling - With Empirical Illustrations and MATLAB Examples (Paperback)

Ken Nyholm

Series: Elements in Quantitative Finance

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Loot Price R530 Discovery Miles 5 300

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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.

General

Imprint: Cambridge UniversityPress
Country of origin: United Kingdom
Series: Elements in Quantitative Finance
Release date: 2021
Authors: Ken Nyholm
Dimensions: 229 x 151 x 9mm (L x W x T)
Format: Paperback - Trade
Pages: 75
ISBN-13: 978-1-108-97212-3
Categories: Books > Business & Economics > Finance & accounting > Finance > General
Books > Science & Mathematics > Mathematics > Applied mathematics > Mathematical modelling
Books > Computing & IT > Computer software packages > Other software packages > Mathematical & statistical software
Books > Money & Finance > General
LSN: 1-108-97212-8
Barcode: 9781108972123

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