Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
481194 | European Journal of Operational Research | 2009 | 9 Pages |
Abstract
The yield curve is a very important financial tool used in investment and policy decisions. Its estimation from market data is essentially a non-linear optimization problem. In this paper, we compare a diversity of non-linear optimization algorithms for estimating yield curves based on actual bond market data and conclude that certain classes of algorithms are more effective due to the nature of the problem.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Polychronis Manousopoulos, Michalis Michalopoulos,