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research article

Exact Smooth Term-Structure Estimation

Filipovic, Damir  
•
Willems, Sander  
January 1, 2018
Siam Journal On Financial Mathematics

We present a nonparametric 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
10.1137/16M1080276
Web of Science ID

WOS:000445804500002

Author(s)
Filipovic, Damir  
Willems, Sander  
Date Issued

2018-01-01

Publisher

SIAM PUBLICATIONS

Published in
Siam Journal On Financial Mathematics
Volume

9

Issue

3

Start page

907

End page

929

Subjects

Business, Finance

•

Mathematics, Interdisciplinary Applications

•

Social Sciences, Mathematical Methods

•

Business & Economics

•

Mathematics

•

Mathematical Methods In Social Sciences

•

bootstrap

•

discount curve

•

forward curve

•

splines

•

term-structure estimation

•

interest-rates

•

maximum smoothness

•

yield curve

•

splines

•

models

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
SFI-GE  
CSF  
Available on Infoscience
December 13, 2018
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/151973
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