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.

A comprehensive coverage of yield curve modelling techniques, focussing on the most well-known discrete-time models used by practitioners.

Book Information
ISBN 9781108972123
Author Ken Nyholm
Format Paperback
Page Count 75
Imprint Cambridge University Press
Publisher Cambridge University Press
Weight(grams) 240g
Dimensions(mm) 229mm * 151mm * 9mm