Tom Artiom Fiodorov

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seen Jun 8 at 16:51

I am a PhD student at UCL


May
15
awarded  Teacher
May
14
revised Why isn't the Nelson-Siegel model arbitrage-free?
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May
14
answered Why isn't the Nelson-Siegel model arbitrage-free?
May
12
awarded  Supporter
May
6
comment Why isn't the Nelson-Siegel model arbitrage-free?
This derivation was given by Chris Rogers, who is teaching Advanced Financial Models at the University of Cambridge this year. Here's a scan of the notes, taken by a student of his class: statslab.cam.ac.uk/~chris/AFM/AFM_L21.pdf
Apr
25
awarded  Nice Question
Apr
23
awarded  Editor
Apr
23
revised Why isn't the Nelson-Siegel model arbitrage-free?
edited title
Apr
23
awarded  Student
Apr
23
asked Why isn't the Nelson-Siegel model arbitrage-free?