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Approximating term structure of interest rates using cubic \(L_1\) splines - MaRDI portal

Approximating term structure of interest rates using cubic \(L_1\) splines (Q2384853)

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Approximating term structure of interest rates using cubic \(L_1\) splines
scientific article

    Statements

    title
    Approximating term structure of interest rates using cubic \(L_1\) splines (English)
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    author
    Nan-Chieh Chiu
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    Shu-Cherng Fang
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    John E. Lavery
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    Jen-Yen Lin
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    Yong Wang
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    publication date
    10 October 2007
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    zbMATH Keywords
    B-spline
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    finance
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    geometric programming
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    \(L_1\) spline
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    term structure
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    describes a project that uses
    NLPLIB
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    OPERA
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    TOMLAB
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    41A15
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    65D07
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    zbMATH DE Number
    5199568
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    OpenAlex ID
    W1967572666
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