Comparison of non-linear optimization algorithms for yield curve estimation
AbstractThe yield curve is a very important financial tool used in investment and policy decisions. Its estimation from market data is essentially a non-linear optimization problem. In this paper, we compare a diversity of non-linear optimization algorithms for estimating yield curves based on actual bond market data and conclude that certain classes of algorithms are more effective due to the nature of the problem.
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 192 (2009)
Issue (Month): 2 (January)
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Web page: http://www.elsevier.com/locate/eor
Finance OR in banking Non-linear programming Yield curve;
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