Arbitrage bounds for the term structure of interest rates
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Publication:1381485
DOI10.1007/s007800050031zbMath0892.90016MaRDI QIDQ1381485
Publication date: 27 April 1998
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050031
linear programming; smoothing splines; term structure of interest rates; duality theory; yield curve; arbitrage bounds; smooth estimator of the term structure
90C90: Applications of mathematical programming
90C05: Linear programming
91B24: Microeconomic theory (price theory and economic markets)
91B82: Statistical methods; economic indices and measures
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