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Forward Rate Curve Smoothing

Author

Listed:
  • Robert A. Jarrow

    (Samuel Curtis Johnson Graduate School of Management, Cornell University, Ithaca, New York 14853
    Kamakura Corporation, Honolulu, Hawaii 96815)

Abstract

This article reviews the forward rate curve smoothing literature. The key contribution of this review is to link the static curve fitting exercise to the dynamic and arbitrage-free models of the term structure of interest rates. As such, this review introduces more economics to an almost exclusively mathematical exercise, and it identifies new areas for research related to forward rate curve smoothing.

Suggested Citation

  • Robert A. Jarrow, 2014. "Forward Rate Curve Smoothing," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 443-458, December.
    • Handle: RePEc:anr:refeco:v:6:y:2014:p:443-458
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    File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev-financial-022114-112903
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    Citations

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    Cited by:

    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. Vadim Kaushanskiy & Victor Lapshin, 2016. "A nonparametric method for term structure fitting with automatic smoothing," Applied Economics, Taylor & Francis Journals, vol. 48(58), pages 5654-5666, December.
    3. Caldana, Ruggero & Fusai, Gianluca & Roncoroni, Andrea, 2017. "Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market," European Journal of Operational Research, Elsevier, vol. 261(2), pages 715-734.

    More about this item

    Keywords

    forward rate curves; polynomial splines; smoothed splines; term structure evolutions; HJM model;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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