On the estimation of smooth forward rate curves from a finite number of observations: A comment

DOI10.1016/0167-6687(95)00032-1zbMath0864.62068OpenAlexW1966630057MaRDI QIDQ2563880

Corrado Corradi

Publication date: 6 January 1997

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

Full work available at URL: https://doi.org/10.1016/0167-6687(95)00032-1

zbMATH Keywords

forward rate curvespline functions in Hilbert spacesyield-to-maturity

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Constrained smoothing \(B\)-splines for the term structure of interest rates ⋮ A note on interest rate term structure estimation using tension splines ⋮ Consistent fitting of one-factor models to interest rate data.

Cites Work

• A general method for the construction of interpolating or smoothing spline-functions
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