A constrained least square approach to the estimation of the term structure of interest rates

DOI10.1007/BF02425172zbMath1153.91530MaRDI QIDQ1000382

Toru Takase, Hiroshi Konno

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

zbMATH Keywords

nonlinear programmingleast square estimationbond pricesforward rate curves

Mathematics Subject Classification ID

Related Items (1)

On the de-facto convex structure of a least square problem for estimating the term structure of interest rates

Cites Work

• BOND PORTFOLIO OPTIMIZATION BY BILINEAR FRACTIONAL PROGRAMMING
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