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Approximating term structure of interest rates using cubic L1 splines

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  • Chiu, Nan-Chieh
  • Fang, Shu-Cherng
  • Lavery, John E.
  • Lin, Jen-Yen
  • Wang, Yong

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  • Chiu, Nan-Chieh & Fang, Shu-Cherng & Lavery, John E. & Lin, Jen-Yen & Wang, Yong, 2008. "Approximating term structure of interest rates using cubic L1 splines," European Journal of Operational Research, Elsevier, vol. 184(3), pages 990-1004, February.
    • Handle: RePEc:eee:ejores:v:184:y:2008:i:3:p:990-1004
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    References listed on IDEAS

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    1. Vasicek, Oldrich A & Fong, H Gifford, 1982. "Term Structure Modeling Using Exponential Splines," Journal of Finance, American Finance Association, vol. 37(2), pages 339-348, May.
    2. McCulloch, J Huston, 1971. "Measuring the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 44(1), pages 19-31, January.
    3. Hao Cheng & Shu-Cherng Fang & John Lavery, 2005. "A Geometric Programming Framework for Univariate Cubic L 1 Smoothing Splines," Annals of Operations Research, Springer, vol. 133(1), pages 229-248, January.
    4. Alessandro Ramponi, 2003. "Adaptive And Monotone Spline Estimation Of The Cross-Sectional Term Structure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 195-212.
    5. Elmor L. Peterson, 1976. "Fenchel's Duality Thereom in Generalized Geometric Programming," Discussion Papers 252, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    6. Elmor L. Peterson, 1976. "Optimality Conditions in Generalized Geometric Programming," Discussion Papers 221, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    7. Bing-Huei Lin, 2002. "Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bonds," Applied Financial Economics, Taylor & Francis Journals, vol. 12(1), pages 57-75.
    8. Zhou S. & Shen X., 2001. "Spatially Adaptive Regression Splines and Accurate Knot Selection Schemes," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 247-259, March.
    9. Mark Fisher & Douglas Nychka & David Zervos, 1995. "Fitting the term structure of interest rates with smoothing splines," Finance and Economics Discussion Series 95-1, Board of Governors of the Federal Reserve System (U.S.).
    10. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
    11. Shang-Wu Yu, 1999. "Approximating the term structure of interest rates in Japan," Applied Economics Letters, Taylor & Francis Journals, vol. 6(7), pages 403-407.
    12. Elmor L. Peterson, 1976. "Saddle Points and Duality in Generalized Geometric Programming," Discussion Papers 239, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    13. Hao Cheng & Shu-Cherng Fang & John E. Lavery, 2002. "Univariate cubic L 1 splines – A geometric programming approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 56(2), pages 197-229, November.
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    1. Blomvall, Jörgen, 2017. "Measurement of interest rates using a convex optimization model," European Journal of Operational Research, Elsevier, vol. 256(1), pages 308-316.
    2. Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016. "Kriging of financial term-structures," European Journal of Operational Research, Elsevier, vol. 255(2), pages 631-648.
    3. Fengler, Matthias R. & Hin, Lin-Yee, 2015. "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Finance Research Letters, Elsevier, vol. 15(C), pages 78-84.
    4. Damir Filipović & Sander Willems, 2016. "Exact Smooth Term Structure Estimation," Swiss Finance Institute Research Paper Series 16-38, Swiss Finance Institute.
    5. Laurini, Márcio Poletti & Ohashi, Alberto, 2015. "A noisy principal component analysis for forward rate curves," European Journal of Operational Research, Elsevier, vol. 246(1), pages 140-153.
    6. Haven, Emmanuel & Liu, Xiaoquan & Shen, Liya, 2012. "De-noising option prices with the wavelet method," European Journal of Operational Research, Elsevier, vol. 222(1), pages 104-112.

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