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.
- Areski Cousin & Ibrahima Niang, 2014. "On the Range of Admissible Term-Structures," Working Papers hal-00968943, HAL.
- 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.
- Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016. "Kriging of financial term-structures," European Journal of Operational Research, Elsevier, vol. 255(2), pages 631-648.
- Fengler, Matthias R. & Hin, Lin-Yee, 2015.
"A simple and general approach to fitting the discount curve under no-arbitrage constraints,"
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- Fengler, Matthias R. & Hin, Lin-Yee, 2014. "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Economics Working Paper Series 1423, University of St. Gallen, School of Economics and Political Science.
- Blomvall, Jörgen, 2017. "Measurement of interest rates using a convex optimization model," European Journal of Operational Research, Elsevier, vol. 256(1), pages 308-316.
- de Kort, J. & Vellekoop, M.H., 2016. "Term structure extrapolation and asymptotic forward rates," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 107-119.
- Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016.
"Kriging of financial term-structures,"
European Journal of Operational Research,
Elsevier, vol. 255(2), pages 631-648.
- Areski Cousin & Hassan Maatouk & Didier Rullière, 2015. "Kriging of financial term-structures," Working Papers hal-01206388, HAL.
- Areski Cousin & Hassan Maatouk & Didier Rulli\`ere, 2016. "Kriging of financial term-structures," Papers 1604.02237, arXiv.org.
- Damir Filipovi'c & Sander Willems, 2016. "Exact Smooth Term-Structure Estimation," Papers 1606.03899, arXiv.org, revised Feb 2018.
- Areski Cousin & Ibrahima Niang, 2014. "On the range of admissible term-structures," Papers 1404.0340, arXiv.org.
More about this item
KeywordsDiscount curves; Hyperbolic tension splines; Bond pricing; Swap pricing; Perturbation locality; Optimality;
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