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Nyholm

A Practitioner's Guide to Discrete-Time Yield Curve Modelling

Medium: Buch
ISBN: 978-1-108-97212-3
Verlag: Cambridge University Press
Erscheinungstermin: 07.01.2021
Lieferfrist: bis zu 10 Tage
Autoren/Hrsg.

Autoren

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.