A note on interest rate term structure estimation using tension splines

DOI10.1016/S0167-6687(97)00035-8zbMath0911.90019MaRDI QIDQ1265925

Corrado Corradi, Luca Barzanti

Publication date: 5 May 1999

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

term structure estimationtension splines

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (9)

\(C^2\) tension splines construction based on a class of sixth-order ordinary differential equations ⋮ Term structure extrapolation and asymptotic forward rates ⋮ A noisy principal component analysis for forward rate curves ⋮ Exact Smooth Term-Structure Estimation ⋮ Dynamic functional data analysis with non-parametric state space models ⋮ Constrained smoothing \(B\)-splines for the term structure of interest rates ⋮ ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE ⋮ Discount curve construction with tension splines ⋮ A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE

Cites Work

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• An algorithm for computing constrained smoothing spline functions
• A simple rational spline and its application to monotonic interpolation to monotonic data
• Properties of splines in tension
• Exponential spline interpolation
• On the estimation of smooth forward rate curves from a finite number of observations: A comment
• Alternatives to the Exponential Spline in Tension
• Scalar- and planar-valued curve fitting using splines under tension

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