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research article

Exact Smooth Term Structure Estimation

Willems, Sander
•
Filipovic, Damir
2018
SIAM Journal on Financial Mathematics

We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is easy to implement and requires only basic linear algebra operations. We provide a full theoretical framework as well as several practical applications.

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Type
research article
DOI
10.2139/ssrn.2794083
Author(s)
Willems, Sander
Filipovic, Damir
Date Issued

2018

Published in
SIAM Journal on Financial Mathematics
Volume

9

Issue

3

Start page

907

End page

929

Subjects

Bootstrap

•

Discount curve

•

Forward curve

•

Splines

•

Term-structure estimation

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
CSF  
RelationURL/DOI

IsSupplementedBy

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2794083
Available on Infoscience
October 15, 2018
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/148829
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