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

This Element is intended for students and practitioners as a gentle and intuitive introduction to the eld 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.