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Discount curve construction with tension splines

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  • Leif Andersen

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11147-008-9021-2
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    Bibliographic Info

    Article provided by Springer in its journal Review of Derivatives Research.

    Volume (Year): 10 (2007)
    Issue (Month): 3 (December)
    Pages: 227-267

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    Handle: RePEc:kap:revdev:v:10:y:2007:i:3:p:227-267

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    Web page: http://www.springerlink.com/link.asp?id=102989

    Related research

    Keywords: Discount curves; Hyperbolic tension splines; Bond pricing; Swap pricing; Perturbation locality; Optimality;

    References

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    1. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-92.
    2. Chambers, Donald R. & Carleton, Willard T. & Waldman, Donald W., 1984. "A New Approach to Estimation of the Term Structure of Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(03), pages 233-252, September.
    3. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-89, October.
    4. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, Econometric Society, vol. 60(1), pages 77-105, January.
    5. McCulloch, J Huston, 1975. "The Tax-Adjusted Yield Curve," Journal of Finance, American Finance Association, American Finance Association, vol. 30(3), pages 811-30, June.
    6. J. Huston McCulloch, 2001. "The Inflation Premium implicit in the US Real and Nominal," Computing in Economics and Finance 2001 210, Society for Computational Economics.
    7. Tanggaard, Carsten, 1997. " Nonparametric Smoothing of Yield Curves," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 9(3), pages 251-67, October.
    8. Barzanti, Luca & Corradi, Corrado, 1998. "A note on interest rate term structure estimation using tension splines," Insurance: Mathematics and Economics, Elsevier, vol. 22(2), pages 139-143, June.
    9. 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.
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    Cited by:
    1. 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.
    2. Areski Cousin & Ibrahima Niang, 2014. "On the Range of Admissible Term-Structures," Working Papers hal-00968943, HAL.
    3. Areski Cousin & Ibrahima Niang, 2014. "On the range of admissible term-structures," Papers 1404.0340, arXiv.org.

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