Comparison of non-linear optimization algorithms for yield curve estimation

DOI10.1016/j.ejor.2007.09.017zbMath1157.90538MaRDI QIDQ1011191

Michalis Michalopoulos, Polychronis Manousopoulos

Publication date: 8 April 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2007.09.017

zbMATH Keywords

finance; yield curve; OR in banking; non-linear programming

Mathematics Subject Classification ID

90C30: Nonlinear programming

90B30: Production models

Related Items

Term structure of interest rates estimation using rational Chebyshev functions, Comparison of non-linear optimization algorithms for yield curve estimation, Robust term structure estimation in developed and emerging markets, Measurement of interest rates using a convex optimization model, Artificial intelligence combined with nonlinear optimization techniques and their application for yield curve optimization

Uses Software

• Excel
• fminsearch

Cites Work

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