Determining the term structure of interest rates

DOI10.3103/S0278641909040062MaRDI QIDQ845543zbMATH OpenOpenAlexFDO

Authors Victor A. Lapshin

Publication date 29 January 2010

Published in Moscow University Computational Mathematics and Cybernetics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/s0278641909040062

zbMATH Keywords

discontinuous change of timeexponential-sinusoidal splinesthe Pontryagin maximum principleyield curve

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(8)

• Calibration of short rate term structure models from bid-ask coupon bond prices
• Yield curves from different bond data sets
• Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach
• Market-Based Interest Rates: Deterministic Volatility Case
• The Term Structure of Interest Rates: Bounded or Falling?
• Information of interest
• The term structure of interest rates over the business cycle
• The term structure of interest rates over the business cycle

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