Tom Artiom Fiodorov
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revised Why isn't the Nelson-Siegel model arbitrage-free?
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answered Why isn't the Nelson-Siegel model arbitrage-free?
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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
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revised Why isn't the Nelson-Siegel model arbitrage-free?
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asked Why isn't the Nelson-Siegel model arbitrage-free?