Portfolio and Risk Management for Central Banks and Sovereign Wealth Funds
Joachim Coche, Ken Nyholm, Gabriel Petre, Joachim Coche, Ken Nyholm
Inbunden, 2010
1 479 kr
Del i serien Elements in Quantitative Finance
A Practitioner's Guide to Discrete-Time Yield Curve Modelling
With Empirical Illustrations and MATLAB Examples
Häftad, Engelska, 2021
409 kr
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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.
Produktinformation
- Utgivningsdatum2021-01-07
- Mått151 x 229 x 9 mm
- Vikt240 g
- FormatHäftad
- SpråkEngelska
- SerieElements in Quantitative Finance
- Antal sidor152
- FörlagCambridge University Press
- ISBN9781108972123
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