Interpolation Methods for Curve Construction

DOI10.1080/13504860500396032zbMATH Open1142.91526OpenAlexW2125836937WikidataQ56336840 ScholiaQ56336840MaRDI QIDQ3424329FDOQ3424329

Authors:

Publication date: 15 February 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860500396032

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zbMATH Keywords

bootstrapinterpolationyield curve

Mathematics Subject Classification ID

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

Cites Work

• A theory of the term structure of interest rates
• Title not available (Why is that?)
• Title not available (Why is that?)
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• A practical guide to splines
• Accurate Monotonicity Preserving Cubic Interpolation

Cited In (29)

• On the construction of hourly price forward curves for electricity prices
• Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market
• Digital interpolators for curve plotting
• A Lévy HJM multiple-curve model with application to CVA computation
• Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates
• Direction-consistent tangent vectors for generating interpolation curves
• Term structure extrapolation and asymptotic forward rates
• Measurement of interest rates using a convex optimization model
• Multi-curve HJM modelling for risk management
• Discount curve construction with tension splines
• Kriging of financial term-structures
• A generalized bootstrap method to determine the yield curve
• An accurate and stable numerical method for option hedge parameters
• Issues with the Smith-Wilson method
• Accelerated computations of sensitivities for xVA*
• DISCOUNT CURVE ESTIMATION BY MONOTONIZING MCCULLOCH SPLINES
• A Note on Dual-Curve Construction: Mr. Crab’s Bootstrap
• Constrained smoothing \(B\)-splines for the term structure of interest rates
• Negative Basis Measurement: Finding the Holy Scale
• Simulation and evaluation of the distribution of interest rate risk
• Reducing transaction costs for interest rate risk hedging with stochastic programming
• Fitting dynamically consistent forward rate curves: algorithm and comparison
• Pricing CoCos with equity conversion covenant in a distressed market environment
• Arbitrage-free interpolation of the swap curve
• Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
• Exact Smooth Term-Structure Estimation
• 3d point cloud model of human bio form created by the application of geometric morphometrics and method of anatomical features: human tibia example
• Multi-curve Construction
• Interpolation of two-dimensional curves with Euler spirals

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