Repository logo

Infoscience

  • English
  • French
Log In
Logo EPFL, École polytechnique fédérale de Lausanne

Infoscience

  • English
  • French
Log In
  1. Home
  2. Academic and Research Output
  3. Journal articles
  4. Exact Smooth Term Structure Estimation
 
Loading...
Thumbnail Image
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.

  • Details
  • Metrics
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

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
Logo EPFL, École polytechnique fédérale de Lausanne
  • Contact
  • infoscience@epfl.ch

  • Follow us on Facebook
  • Follow us on Instagram
  • Follow us on LinkedIn
  • Follow us on X
  • Follow us on Youtube
AccessibilityLegal noticePrivacy policyCookie settingsEnd User AgreementGet helpFeedback

Infoscience is a service managed and provided by the Library and IT Services of EPFL. © EPFL, tous droits réservés