Measurement of interest rates using a convex optimization model

DOI10.1016/j.ejor.2016.05.053zbMath1394.90527OpenAlexW2409876243WikidataQ57710136 ScholiaQ57710136MaRDI QIDQ1752197

Jörgen Blomvall

Publication date: 24 May 2018

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.05.053

zbMATH Keywords

nonlinear optimizationfinanceterm structureOR in bankingforward rate

Mathematics Subject Classification ID

Convex programming (90C25) Nonlinear programming (90C30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (4)

\(C^2\) tension splines construction based on a class of sixth-order ordinary differential equations ⋮ Corporate hedging: an answer to the ``how question ⋮ Reducing transaction costs for interest rate risk hedging with stochastic programming ⋮ Simulation and evaluation of the distribution of interest rate risk

Uses Software

• Ipopt

Cites Work

• A noisy principal component analysis for forward rate curves
• Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates
• Discount curve construction with tension splines
• Comparison of non-linear optimization algorithms for yield curve estimation
• Approximating term structure of interest rates using cubic \(L_1\) splines
• On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
• Interpolation Methods for Curve Construction
• Positive forward rates in the maximum smoothenss framework

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