This Element is intended for students and practitioners as a gentle and intuitive introduction to the field of Discrete-Time Yield Curve modelling.
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-Sieg.
I strive to be as comprehensive as possible, while still adhering to the overall premise of putting a strong focus on practical applications.
This Element is intended for students and practitioners as a gentle and intuitive introduction to the field of Discrete-Time Yield Curve modelling