Comparison of non-linear optimization algorithms for yield curve estimation

DOI10.1016/j.ejor.2007.09.017zbMath1157.90538OpenAlexW1993042895MaRDI QIDQ1011191

Michalis Michalopoulos, Polychronis Manousopoulos

Publication date: 8 April 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2007.09.017

zbMATH Keywords

financeyield curveOR in bankingnon-linear programming

Mathematics Subject Classification ID

Nonlinear programming (90C30) Production models (90B30)

Related Items

Artificial intelligence combined with nonlinear optimization techniques and their application for yield curve optimization ⋮ Term structure of interest rates estimation using rational Chebyshev functions ⋮ Robust term structure estimation in developed and emerging markets ⋮ A differential evolution algorithm for yield curve estimation ⋮ Measurement of interest rates using a convex optimization model ⋮ Comparison of non-linear optimization algorithms for yield curve estimation

Uses Software

• Excel
• fminsearch

Cites Work

• Unnamed Item
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• Forecasting the term structure of government bond yields
• Thermodynamical approach to the travelling salesman problem: An efficient simulation algorithm
• Simulated annealing: A tool for operational research
• Comparison of non-linear optimization algorithms for yield curve estimation
• Algorithms and economic dynamics. Selected papers from the 2nd annual meeting of the Society for Computational Economics, Geneva, Switzerland, 1996
• Design and Testing of a Generalized Reduced Gradient Code for Nonlinear Programming
• Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
• An efficient method for finding the minimum of a function of several variables without calculating derivatives
• A Simplex Method for Function Minimization

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