Positive forward rates in the maximum smoothenss framework

DOI10.1080/14697680400000026zbMath1405.91643arXivmath/0305307OpenAlexW4239542477MaRDI QIDQ4610229

Jörgen Blomvall, Julián Manzano

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0305307

zbMATH Keywords

maximum smoothness frameworknonlinerar dynamic programmingpositive forward ratesSwedish bond market

Mathematics Subject Classification ID

Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Corporate hedging: an answer to the ``how question ⋮ Exact Smooth Term-Structure Estimation ⋮ Measurement of interest rates using a convex optimization model

Cites Work

• Asymptotics for and against cross-validation
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