The Spline-Based Models for the Term Structure of Interest Rates

被引：0

作者：

Xu Sheng ^{[1
]}

Qin Yi-long ^{[1
]}

Ying Yi-rong ^{[1
]}

机构：

[1] Shanghai Univ, Coll Int Business & Management, Shanghai 200436, Peoples R China

来源：

PROCEEDINGS OF THE 2010 INTERNATIONAL CONFERENCE ON APPLICATION OF MATHEMATICS AND PHYSICS, VOL 2: ADVANCES ON APPLIED MATHEMATICS AND COMPUTATION MATHEMATICS | 2010年

关键词：

Term structure of interest rates; polynomial spline; regression;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

To provide useful data for estimating interest rate models for pricing interest rate derivatives, L-1 spline and L-2 spline models are introduced to estimate term structure of interest rates, the models can minimize the oscillation without losing perfect approximation of the data.

引用

页码：11 / 15

页数：5

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