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

DOI10.1007/BF00868009zbMath1153.91761MaRDI QIDQ1000400

Hiroshi Konno, Toru Takase

Publication date: 6 February 2009

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

zbMATH Keywords

term structure of interest rates; nonconvex minimization problem; Carleton-Coopers method; constrained least square problem

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B82: Statistical methods; economic indices and measures