On the de-facto convex structure of a least square problem for estimating the term structure of interest rates

DOI10.1007/BF00868009zbMath1153.91761MaRDI QIDQ1000400

Toru Takase, Hiroshi Konno

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

zbMATH Keywords

term structure of interest ratesnonconvex minimization problemCarleton-Coopers methodconstrained least square problem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Cites Work

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• A constrained least square approach to the estimation of the term structure of interest rates
• On the Convergence of Some Feasible Direction Algorithms for Nonlinear Programming
• A quadratically-convergent algorithm for general nonlinear programming problems

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