Exact Smooth Term-Structure Estimation

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.


Publié dans:
Siam Journal On Financial Mathematics, 9, 3, 907-929
Année
Jan 01 2018
Publisher:
Philadelphia, SIAM PUBLICATIONS
ISSN:
1945-497X
Mots-clefs:
Laboratoires:




 Notice créée le 2018-12-13, modifiée le 2019-12-05


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