An estimation model for the term structure of yield spread

DOI10.1023/A:1011967507050zbMath1055.91037OpenAlexW22475528MaRDI QIDQ1415431

Takahito Tanabe, Kimiaki Aonuma

Publication date: 4 December 2003

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1011967507050

zbMATH Keywords

automatic differentiationnonlinear programmingtransition matrix of credit-rating class

Mathematics Subject Classification ID

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