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A Review Of Techniques For The Estimation Of The Term Structure

Author

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  • LIVIO MARANGIO

    (Istituto per le Applicazioni del Calcolo "Mauro Picone" — C.N.R., Via del Policlinico, 137-00161 Rome, Italy)

  • MASSIMO MASSIMO

    (Istituto per le Applicazioni del Calcolo "Mauro Picone" — C.N.R., Via del Policlinico, 137-00161 Rome, Italy)

  • ALESSANDRO RAMPONI

    (Dipartimento Di Matematica Pura e Applicata, Università di L'Aquila, via Vetdio Coppito, 67010, L'Aquila, Italy)

Abstract

A number of techniques have been proposed for estimating theterm structure, yet solid theoretical foundations and a comparative assessment of the results produced by these techniques are not available. In the present paper we prove, within a well defined mathematical setting, how the existence ofdiscount factorsis possible only if the condition of absence of staticarbitrageis fulfilled. Besides that we report the results of an extensive set of tests whose scope is to show how the most widely used approaches in this field behave on both real and synthetic data.

Suggested Citation

  • Livio Marangio & Massimo Massimo & Alessandro Ramponi, 2002. "A Review Of Techniques For The Estimation Of The Term Structure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 189-221.
    • Handle: RePEc:wsi:ijtafx:v:05:y:2002:i:02:n:s0219024902001419
    DOI: 10.1142/S0219024902001419
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    Cited by:

    1. Fengler, Matthias R. & Hin, Lin-Yee, 2015. "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Finance Research Letters, Elsevier, vol. 15(C), pages 78-84.
    2. Edwin O. Fischer & Lisa-Maria Kampl & Ines Wöckl, 2020. "On the Valuation and Analysis of Risky Debt: A Practical Approach Using Raging Migrations," Working Paper Series, Social and Economic Sciences 2020-01, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.

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