Tension splines are proposed as a flexible tool for interest rate term structure estimation to circumvent some difficulties arising with the ordinary cubic spline estimators. A few computational experiments on test problems support the merits of the proposed approach. (C) 1998 Elsevier Science B.V. All rights reserved.
Barzanti L., Corradi C. (1998). A note on interest rate term structure estimation using tension splines. INSURANCE MATHEMATICS & ECONOMICS, 22(2), 139-143 [10.1016/S0167-6687(97)00035-8].
A note on interest rate term structure estimation using tension splines
Barzanti L.;
1998
Abstract
Tension splines are proposed as a flexible tool for interest rate term structure estimation to circumvent some difficulties arising with the ordinary cubic spline estimators. A few computational experiments on test problems support the merits of the proposed approach. (C) 1998 Elsevier Science B.V. All rights reserved.File in questo prodotto:
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