scientific article; zbMATH DE number 938655

zbMATH Open0853.62093MaRDI QIDQ4896943FDOQ4896943

Authors: S. Lorimier 

Publication date: 7 January 1997

Title of this publication is not available (Why is that?)

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zbMATH Keywords

optimizationsmoothingyield curvepolynomial splineforward rate curveinterbank rateszero-coupon bond prices

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic growth models (91B62)

Cited In (17)

• Nonparametric confidence intervals of instantaneous forward rates
• A note on interest rate term structure estimation by monotonic smoothing splines
• Determining the term structure of interest rates
• Estimating the term structure of interest rates using penalized splines
• Term structure extrapolation and asymptotic forward rates
• A constrained least square approach to the estimation of the term structure of interest rates
• On the estimation of smooth forward rate curves from a finite number of observations: A comment
• Polynomial algorithms for pricing path-dependent interest rate instruments
• A CONSTRAINED LEAST SQUARE METHOD FOR ESTIMATING A SMOOTH, NONNEGATIVE FORWARD RATE SEQUENCE
• Discount curve construction with tension splines
• Kriging of financial term-structures
• A note on interest rate term structure estimation using tension splines
• Exact smooth term-structure estimation
• ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE
• Fitting dynamically consistent forward rate curves: algorithm and comparison
• Positive forward rates in the maximum smoothenss framework
• Application of exponential splines and rational interpolation to the pricing of zero-coupon bonds

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