smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2007SMQ / 157460870935152
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
Francis X. Diebold / Glenn D. Rudebusch / Jens H. E. Christensen
fixed income / interest ratesResource overview

The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models

Paper2007

by Francis X. Diebold, Glenn D. Rudebusch, Jens H. E. Christensen

Tags
fixed incomeinterest ratesmathematical financeterm structure models

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for rates and fixed income and options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  4. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

  3. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Fixed Income and Interest-Rate Models Explore Derivatives Pricing and Computational Finance

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Francis X. Diebold, Glenn D. Rudebusch, Jens H. E. Christensen

6