Constrained smoothing \(B\)-splines for the term structure of interest rates
From MaRDI portal
Publication:659234
DOI10.1016/j.insmatheco.2009.11.008zbMath1231.91457OpenAlexW2068633833MaRDI QIDQ659234
Marcelo Moura, Márcio Poletti Laurini
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.11.008
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (5)
Spline based survival model for credit risk modeling ⋮ Kriging of financial term-structures ⋮ Exact Smooth Term-Structure Estimation ⋮ Dynamic functional data analysis with non-parametric state space models ⋮ Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
Uses Software
Cites Work
- Longevity risk in pension annuities with exchange options: the effect of product design
- A convergent algorithm for quantile regression with smoothing splines
- Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
- A note on immunization under a general stochastic equilibrium model of the term structure
- On the Fisher-Weil immunization theorem
- Immunization of multiple liabilities
- The Laplace transform of annuities certain with exponential time distribution
- A note on interest rate term structure estimation using tension splines
- Evaluation of the GIC rollover option
- Nonparametric option pricing under shape restrictions
- Lee-Carter mortality forecasting with age-specific enhancement.
- Nonparametric confidence intervals of instantaneous forward rates
- COBS: qualitatively constrained smoothing via linear programming
- Interest rate models: an infinite dimensional stochastic analysis perspective
- On the estimation of smooth forward rate curves from a finite number of observations: A comment
- On Redington's theory of immunization
- Modeling Financial Time Series with S-PLUS®
- Interpolation Methods for Curve Construction
- An Intertemporal General Equilibrium Model of Asset Prices
- Regression Quantiles
- Monotone B-Spline Smoothing
- Quantile smoothing splines
- A fast and efficient implementation of qualitatively constrained quantile smoothing splines
- Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model
- Interest Rate Risk Management
- Long-Term Yield Rates for Actuarial Valuations
- Yield curve estimation by kernel smoothing methods
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Constrained smoothing \(B\)-splines for the term structure of interest rates
