Determining the term structure of interest rates

DOI10.3103/S0278641909040062zbMath1183.91184OpenAlexW2015929857MaRDI QIDQ845543

Victor A. Lapshin

Publication date: 29 January 2010

Published in: Moscow University Computational Mathematics and Cybernetics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s0278641909040062

zbMATH Keywords

yield curvediscontinuous change of timeexponential-sinusoidal splinesthe Pontryagin maximum principle

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach

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