A differential evolution algorithm for yield curve estimation

DOI10.1016/J.MATCOM.2016.04.004MaRDI QIDQ2228852zbMATH OpenOpenAlexFDO

Authors Leandro Maciel, Fernando Gomide, Rosangela Ballini

Publication date 19 February 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2016.04.004

zbMATH Keywords

differential evolutionfinanceinterest rateoptimizationyield curve

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• A fuzzy adaptive differential evolution algorithm
• A genetic algorithm estimation of the term structure of interest rates
• An evaluation of some popular investment strategies under stochastic interest rates
• Comparison of non-linear optimization algorithms for yield curve estimation
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Differential evolution. A practical approach to global optimization. With CD-ROM.
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Forecasting the term structure of government bond yields
• Generating trading rules on the stock markets with genetic programming.
• Genetic algorithms for portfolio selection problems with minimum transaction lots
• Improved differential evolution approach based on cultural algorithm and diversity measure applied to solve economic load dispatch problems
• Metaheuristics for the portfolio selection problem
• Minimum distance estimation and testing for interest rate models
• Pollution source identification using a coupled diffusion model with a genetic algorithm
• Smooth transition autoregressive models. New approaches to the model selection problem

Cited in

(4)

• Artificial intelligence combined with nonlinear optimization techniques and their application for yield curve optimization
• Fitting dynamically consistent forward rate curves: algorithm and comparison
• Multiple yield curve modeling and forecasting using deep learning
• A genetic algorithm estimation of the term structure of interest rates

Describes a project that uses

Uses Software

• JADE

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