Interpolation Methods for Curve Construction
From MaRDI portal
Publication:3424329
DOI10.1080/13504860500396032zbMath1142.91526OpenAlexW2125836937WikidataQ56336840 ScholiaQ56336840MaRDI QIDQ3424329
No author found.
Publication date: 15 February 2007
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860500396032
Related Items (22)
Term structure extrapolation and asymptotic forward rates ⋮ Issues with the Smith-Wilson method ⋮ An accurate and stable numerical method for option hedge parameters ⋮ Kriging of financial term-structures ⋮ Exact Smooth Term-Structure Estimation ⋮ Multi-curve HJM modelling for risk management ⋮ 3d point cloud model of human bio form created by the application of geometric morphometrics and method of anatomical features: human tibia example ⋮ Reducing transaction costs for interest rate risk hedging with stochastic programming ⋮ Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates ⋮ DISCOUNT CURVE ESTIMATION BY MONOTONIZING MCCULLOCH SPLINES ⋮ Simulation and evaluation of the distribution of interest rate risk ⋮ On the construction of hourly price forward curves for electricity prices ⋮ Constrained smoothing \(B\)-splines for the term structure of interest rates ⋮ Discount curve construction with tension splines ⋮ Measurement of interest rates using a convex optimization model ⋮ Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market ⋮ A Note on Dual-Curve Construction: Mr. Crab’s Bootstrap ⋮ A Lévy HJM multiple-curve model with application to CVA computation ⋮ Multi-curve Construction ⋮ Negative Basis Measurement: Finding the Holy Scale ⋮ Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets ⋮ ARBITRAGE-FREE INTERPOLATION OF THE SWAP CURVE
Cites Work
This page was built for publication: Interpolation Methods for Curve Construction
