Discount curve construction with tension splines
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Bibliographic InfoArticle provided by Springer in its journal Review of Derivatives Research.
Volume (Year): 10 (2007)
Issue (Month): 3 (December)
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Web page: http://www.springerlink.com/link.asp?id=102989
Discount curves; Hyperbolic tension splines; Bond pricing; Swap pricing; Perturbation locality; Optimality;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, Econometric Society, vol. 53(2), pages 385-407, March.
- Bianchetti, Marco, 2008. "Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves," MPRA Paper 22022, University Library of Munich, Germany, revised 24 Jan 2010.
- Areski Cousin & Ibrahima Niang, 2014. "On the Range of Admissible Term-Structures," Working Papers hal-00968943, HAL.
- Areski Cousin & Ibrahima Niang, 2014. "On the range of admissible term-structures," Papers 1404.0340, arXiv.org.
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