On the estimation of smooth forward rate curves from a finite number of observations: A comment

DOI10.1016/0167-6687(95)00032-1MaRDI QIDQ2563880zbMATH OpenOpenAlexFDO

Authors Corrado Corradi

Publication date 6 January 1997

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

Full work available at URL https://doi.org/10.1016/0167-6687(95)00032-1

zbMATH Keywords

forward rate curvespline functions in Hilbert spacesyield-to-maturity

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A general method for the construction of interpolating or smoothing spline-functions
• scientific article; zbMATH DE number 4213315 (Why is no real title available?)
• scientific article; zbMATH DE number 938655 (Why is no real title available?)
• scientific article; zbMATH DE number 3378720 (Why is no real title available?)

Cited in

(7)

• A constrained least square approach to the estimation of the term structure of interest rates
• Convex structure of the constrained least square problem for estimating the forward rate sequence
• A note on interest rate term structure estimation using tension splines
• Consistent fitting of one-factor models to interest rate data.
• Positive forward rates in the maximum smoothenss framework
• scientific article; zbMATH DE number 938655 (Why is no real title available?)
• Constrained smoothing \(B\)-splines for the term structure of interest rates

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