ARBITRAGE SMOOTHING IN FITTING A SEQUENCE OF YIELD CURVES

DOI10.1142/S0219024909005373zbMath1175.91188MaRDI QIDQ3643587

Paul A. Bekker, Kees E. Bouwman

Publication date: 9 November 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

smoothingyield curveabsence of arbitrageNelson-Siegel model

Mathematics Subject Classification ID

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

Cites Work

• Forecasting the term structure of government bond yields
• Interest Rate Dynamics and Consistent Forward Rate Curves
• A Note on the Nelson-Siegel Family
• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Exponential-polynomial families and the term structure of interest rates

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