A simple and general approach to fitting the discount curve under no-arbitrage constraints
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- 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.
References listed on IDEAS
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More about this item
KeywordsEmployment; B-splines; Discount curve; No-arbitrage constraints; Monotone estimation; Yield curve;
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-08-25 (All new papers)
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