A Simple and General Approach to Fitting the Discount Curve Under No-Arbitrage Constraints

Author:

Fengler Matthias R.,Hin Lin-Yee

Publisher

Elsevier BV

Reference36 articles.

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2. A geometric programming framework for univariate cubic L 1 smoothing splines;H Cheng;Annals of Operations Research,2005

3. Approximating term structure of interest rates using cubic L 1 splines;N C Chiu;European Journal of Operational Research,2008

4. Asymptotic properties of penalized spline estimators;G Claeskens;Biometrika,2009

5. Estimating the term structure of interest rates from data that include the prices of coupon bonds;T S Coleman;Journal of Fixed Income,1992

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