Practitioner''s Guide to Discrete-Time Yield Curve Modelling - With Empirical Illustrations and Matlab Examples

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.

List of contents

1. Empirical analysis of term structure data; 2. P and Q measures; 3. The basic yield curve modelling set-up; 4. Modelling yields under the Q-measure; 5. Model implementation; 6. Scenario generation; Appendix: on the included MATLAB codes and scripts; References.

Summary

This Element is intended for students and practitioners as a gentle and intuitive introduction to the ?eld 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.

Product details

• Authors: Ken Nyholm, Ken (European Central Bank Nyholm, Nyholm Ken
• Publisher: Cambridge University Press ELT
• Languages: English
• Product format: Paperback / Softback
• Released: 31.12.2020
• EAN: 9781108972123
• ISBN: 978-1-108-97212-3
• No. of pages: 75
• Series: Elements in Quantitative Finance; Elements in Quantitative Finan
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Miscellaneous; Social sciences, law, business > Business > General, dictionaries; Finance, BUSINESS & ECONOMICS / Finance / General, Mathematical & statistical software, Mathematical modelling, Mathematical and statistical software, Finance and the finance industry