An estimation model for the term structure of yield spread

DOI10.1023/A:1011967507050MaRDI QIDQ1415431zbMATH OpenOpenAlexFDO

Authors Kimiaki Aonuma, Takahito Tanabe

Publication date 4 December 2003

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1011967507050

zbMATH Keywords

nonlinear programmingautomatic differentiationtransition matrix of credit-rating class

Mathematics Subject Classification ID

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