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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