Discount curve construction with tension splines
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Publication:941730
DOI10.1007/s11147-008-9021-2zbMath1151.91558OpenAlexW2025954182MaRDI QIDQ941730
Publication date: 2 September 2008
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-008-9021-2
Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Spline approximation (41A15)
Related Items
\(C^2\) tension splines construction based on a class of sixth-order ordinary differential equations ⋮ Term structure extrapolation and asymptotic forward rates ⋮ Kriging of financial term-structures ⋮ Exact Smooth Term-Structure Estimation ⋮ Measurement of interest rates using a convex optimization model
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