A constrained least square approach to the estimation of the term structure of interest rates
type: Item
instance of: scholarly article
title: A constrained least square approach to the estimation of the term structure of interest rates
zbMATH Open document ID: 1153.91530
DOI: 10.1007/BF02425172
author: Hiroshi Konno
author: Toru Takase
published in: Financial Engineering and the Japanese Markets
publication date: 2009-02-06T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 90C30
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5503432
zbMATH Keywords: least square estimation
zbMATH Keywords: nonlinear programming
zbMATH Keywords: forward rate curves
zbMATH Keywords: bond prices
MaRDI profile type: Publication
cites work: Q3323698
cites work: Q4739659
cites work: BOND PORTFOLIO OPTIMIZATION BY BILINEAR FRACTIONAL PROGRAMMING
cites work: Q3688092
description: scientific article; zbMATH DE number 5503432