Determining the term structure of interest rates

Moscow University Computational Mathematics and Cybernetics - Tập 33 Số 4 - Trang 206-213 - 2009
Victor Lapshin1
1Faculty of Computational Mathematics and Cybernetics, Moscow State University, Moscow, Russia

Tóm tắt

Từ khóa


Tài liệu tham khảo

A. Balabushkin, G. Gambarov, and I. Shevchuk, “Estimation of the Term Structure of Interest Rates,” Rynok Tsennykh Bumag, No. 13, 44–52 (2004) [in Russian].

W. T. Carleton and I. A. Cooper, “Estimation and Uses of the Term Structure of Interest Rates,” J. Finance 31, 1067–1083 (1976).

C. Tanggaard, “Kernel Smoothing of Discount Functions,” Working Paper. Aarhus School of Business, No. 21, 1–10 (1992).

I. A. Cooper, “Asset Values. Interest Rate Changes and Duration,” J. Fin. Quant. Anal., No. 12, 701–724 (1977).

C. Nelson and A. Siegel, “Parsimonious Modeling of Yield Curves,” J. Bus., No. 60, 473–489 (1987).

L. Svensson, “Estimating Forward Interest Rates with Extended Nelson & Siegel Method,” Sveriges Riskbank Quart. Rev., No. 3, 13–26 (1995).

J. Wiseman, “The Exponential Yield Curve Model,” in European Fixed Income Research. Technical Specification (JP Morgan, 1994).

T. Bjork and J. Christensen, Interest Rate Dynamics and Consistent Forward Rate Curves. Working Paper Series in Economics and Finance (Stockholm School of Economics, Stockholm, 1997), pp. 1–38.

A. Balabushkin, G. Gambarov, A. Nikitin, and I. Shevchuk, “Couponless Yeld Curve at the GKO-OFZ Market,” Rynok Tsennykh Bumag, No. 3, 68–77 (2006) [in Russian].

J. McCulloch, “Measuring the Term Structure of Interest Rates,” J. Bus. 44(1), 19–31 (1971).

J. McCulloch, “The Tax Adjusted Yield Curve,” J. Finance, No. 30, 811–829 (1975).

G. Shea, “Pitfalls in Smoothing Interest Rate Term Structure Data,” J. Fin. Quant. Anal 19, 253–269 (1984).

J. Steeley, “Estimating the Gilt-Edged Term Structure: Basis Splines and Confidence Intervals,” J. Bus. Fin. Acc. 18, 513–529 (1991).

O. Vasicek and G. Fong, “Term Structure Modeling Using Exponential Splines,” J. Finance 37, 339–348 (1982).

M. Fisher, D. Nychka, and D. Zervos, Fitting the Term Structure of Interest Rates with Smoothing Splines in Working Paper. Funance and Economics Discussion Series (Federal Reserve Board, Washington, DC, 1995).

K. Adams and D. Van Deventer, “Fitting Yield Curves and Forward Rate Curves with Maximum Smoothness,” J. Fixed Income 1(4), 52–62 (1994).

D. Waggoner, “Spline Methods for Extracting Interest Rate Curves from Coupon Bond Prices,” Federal Reserve Bank of Atlanta Working Paper, 1–23 (1997).

V. A. Lapshin, “On Determination of the Time Structure of Interest Rates,” in Collection of Articles of Young Scientists of the Faculty of Computational Mathematics and Cybernetics of the Moscow State University (MAKS Press, Moscow, 2006), No. 3, pp. 92–98 [in Russian].

A. N. Tikhonov and V. Ya. Arsenin, Solution of Ill-Posed Problems (Nauka, Moscow, 1979; Winston & Sons, Washington, DC, 1977).