A note on interest rate term structure estimation using tension splines

DOI10.1016/S0167-6687(97)00035-8zbMath0911.90019MaRDI QIDQ1265925

Corrado Corradi, Luca Barzanti

Publication date: 5 May 1999

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

term structure estimation; tension splines

Mathematics Subject Classification ID

91G30: Interest rates, asset pricing, etc. (stochastic models)

Related Items

Exact Smooth Term-Structure Estimation, ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE, Term structure extrapolation and asymptotic forward rates, A noisy principal component analysis for forward rate curves, Constrained smoothing \(B\)-splines for the term structure of interest rates, Discount curve construction with tension splines, A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE

Cites Work

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• An algorithm for computing constrained smoothing spline functions
• A simple rational spline and its application to monotonic interpolation to monotonic data
• Properties of splines in tension
• Exponential spline interpolation
• On the estimation of smooth forward rate curves from a finite number of observations: A comment
• Alternatives to the Exponential Spline in Tension
• Scalar- and planar-valued curve fitting using splines under tension