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科图分类法:
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F810.5/1 版次： |
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中图分类法:
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F810.5 版次： |
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著者:
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Nyholm, Ken. |
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题名:
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A practitioner's guide to discrete-time yield curve modelling : [ with empirical illustrations and MATLAB examples /] / , |
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出版发行:
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出版地： Cambridge : 出版社： Cambridge University Press, 出版日期： 2020. |
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载体形态:
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143 p. : ill. ; 23 cm. |
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内容提要:
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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. |
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主题词:
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Bonds Mathematical models. |
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索书号:
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F810.5/1 |