Fitting dynamically consistent forward rate curves: algorithm and comparison

DOI10.1142/S0219024924500213MaRDI QIDQ6649935zbMATH OpenFDO

Authors David Chan Lon Wu, Robert A. Jarrow

Publication date 6 December 2024

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024924500213

zbMATH Keywords

cubic splinesdynamically consistent term structure smoothingHJM modelNelson-Siegelsvensson

Mathematics Subject Classification ID

Spline approximation (41A15) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Forecasting the term structure of government bond yields
• Interest rate dynamics and consistent forward rate curves
• Interpolation Methods for Curve Construction
• Real and convex analysis
• Term structure analysis with big data: one-step estimation using bond prices
• The affine arbitrage-free class of Nelson-Siegel term structure models

Cited in

(1)

• Statistically consistent term structures have affine geometry

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