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A note on direct term structure estimation using monotonic splines

✍ Scribed by Barzanti, Luca ;Corradi, Corrado

Publisher: Springer
Year: 1999
Weight: 450 KB
Volume: 22
Category: Article
ISSN: 1127-1035
DOI: 10.1007/bf02912352

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A note on interest rate term structure e

A note on interest rate term structure estimation using tension splines

✍ Luca Barzanti; Corrado Corradi 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 366 KB

Tension splines are proposed as a flexible tool for interest rate term structure estimation to circumvent some difficulties arising with tbe ordinary cubic spline estimators. A few computational experiments on test problems support the merits of the proposed approach.

Erratum to: “A note on interest rate ter

Erratum to: “A note on interest rate term structure estimation using tension splines” [Insurance: Mathematics and Economics 22 (1998) 139–143]

✍ Luca Barzanti; Corrado Corradi 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 99 KB