A note on direct term structure estimation using monotonic splines |
| |
| Authors: | Luca Barzanti Corrado Corradi |
| |
| Affiliation: | 1. Istituto di Matematica Generale e Finanziaria Facoltà di Economia, Università degli Studi di Bologna, Viale Filopanti, 5, 40126, Bologna
|
| |
| Abstract: | A monotonic spline parametrization is proposed as a reliable alternative to the traditional Bernstein-based approach for Direct Term Structure Estimation. Numerical experiments with Italian bond data demonstrate the effectiveness of the proposed method. |
| |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ |
