Discount curve construction with tension splines
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Blomvall, Jörgen, 2017. "Measurement of interest rates using a convex optimization model," European Journal of Operational Research, Elsevier, vol. 256(1), pages 308-316.
- Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016. "Kriging of financial term-structures," European Journal of Operational Research, Elsevier, vol. 255(2), pages 631-648.
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More about this item
KeywordsDiscount curves; Hyperbolic tension splines; Bond pricing; Swap pricing; Perturbation locality; Optimality;
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