Interpolation Methods for Curve Construction
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Publication:3424329
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Cites work
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 236854 (Why is no real title available?)
- A practical guide to splines
- A theory of the term structure of interest rates
- Accurate Monotonicity Preserving Cubic Interpolation
- An equilibrium characterization of the term structure
- Pricing interest-rate-derivative securities
Cited in
(29)- Discount curve construction with tension splines
- Accelerated computations of sensitivities for xVA*
- Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates
- Simulation and evaluation of the distribution of interest rate risk
- Arbitrage-free interpolation of the swap curve
- Multi-curve construction. Definition, calibration, implementation and application of rate curves
- Exact smooth term-structure estimation
- Constrained smoothing \(B\)-splines for the term structure of interest rates
- Issues with the Smith-Wilson method
- DISCOUNT CURVE ESTIMATION BY MONOTONIZING MCCULLOCH SPLINES
- Direction-consistent tangent vectors for generating interpolation curves
- Term structure extrapolation and asymptotic forward rates
- Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
- On the construction of hourly price forward curves for electricity prices
- Fitting dynamically consistent forward rate curves: algorithm and comparison
- Pricing CoCos with equity conversion covenant in a distressed market environment
- 3d point cloud model of human bio form created by the application of geometric morphometrics and method of anatomical features: human tibia example
- Measurement of interest rates using a convex optimization model
- Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market
- Negative basis measurement: finding the holy scale
- A generalized bootstrap method to determine the yield curve
- Digital interpolators for curve plotting
- A Lévy HJM multiple-curve model with application to CVA computation
- Kriging of financial term-structures
- A note on dual-curve construction: Mr. Crab's bootstrap
- Multi-curve HJM modelling for risk management
- Reducing transaction costs for interest rate risk hedging with stochastic programming
- Interpolation of two-dimensional curves with Euler spirals
- An accurate and stable numerical method for option hedge parameters
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