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

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A Practitioner's Guide to Discrete-Time Yield Curve Modelling is written by Ken Nyholm and published by Cambridge University Press. It's available with International Standard Book Number or ISBN identification 1108982301 (ISBN 10) and 9781108982306 (ISBN 13).

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.