A simple and general approach to fitting the discount curve under no-arbitrage constraints-Reference-Cited by-同舟云学术

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A simple and general approach to fitting the discount curve under no-arbitrage constraints

Published:2015-11 Issue: Volume:15 Page:78-84
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Fengler Matthias R.,Hin Lin-Yee

Publisher

Elsevier BV

Subject

Finance

Reference24 articles.

1. Discount curve construction with tension splines;Andersen;Rev. Deriv. Res.,2007

2. A note on direct term structure estimation using monotonic splines;Barzanti;Rivista di Matematica per le Scienze Economiche e Sociali,1999

3. Interest Rate Models;Cairns,2004

4. Approximating term structure of interest rates using cubic L1 splines;Chiu;European J. Oper. Res.,2008

5. A practical guide to splines;de Boor,2001

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Shape-constrained nonparametric estimation of the term structure of interest rates;Journal of Intelligent & Fuzzy Systems;2022-08-10

2. Exact Smooth Term-Structure Estimation;SIAM Journal on Financial Mathematics;2018-01

3. Kriging of financial term-structures;European Journal of Operational Research;2016-12

4. Exact Smooth Term Structure Estimation;SSRN Electronic Journal;2016

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