Article ID Journal Published Year Pages File Type
481194 European Journal of Operational Research 2009 9 Pages PDF
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)
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