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Exact Smooth Term-Structure Estimation - MaRDI portal

Exact Smooth Term-Structure Estimation (Q4553795)

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scientific article; zbMATH DE number 6969766
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English
Exact Smooth Term-Structure Estimation
scientific article; zbMATH DE number 6969766

    Statements

    title
    Exact Smooth Term-Structure Estimation (English)
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    author
    Damir Filipović
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    Sander Willems
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    publication date
    31 October 2018
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    zbMATH Keywords
    bootstrap
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    discount curve
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    forward curve
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    splines
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    term-structure estimation
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    Identifiers

    DOI
    10.1137/16M1080276
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    Mathematics Subject Classification ID
    91G20
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    62P05
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    62G05
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    91G30
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    zbMATH DE Number
    6969766
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    arXiv ID
    1606.03899
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    OpenAlex ID
    W3125466216
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    Wikidata QID
    Q129542478
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