重新审视尼尔森-西格尔模型和斯文森模型的拟合问题

IF 1.6 3区数学 Q2 MATHEMATICS, APPLIED

Optimization Pub Date : 2024-08-26 DOI:10.1080/02331934.2024.2389242

Dirk Banholzer, Jörg Fliege, Ralf Werner

引用次数: 0

摘要

Nelson-Siegel 模型和 Svensson 模型是两个广泛使用的利率期限结构模型。这些模型非常简单直观，但将它们与市场数据进行拟合却需要大量时间。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Revisiting the fitting of the Nelson–Siegel and Svensson models

The Nelson–Siegel and the Svensson models are two widely used models for the term structure of interest rates. These models are quite simple and intuitive, but fitting them to market data is numeri...

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来源期刊

Optimization 数学-应用数学

CiteScore

4.50

自引率

9.10%

发文量

146

审稿时长

4.5 months

期刊介绍： Optimization publishes refereed, theoretical and applied papers on the latest developments in fields such as linear, nonlinear, stochastic, parametric, discrete and dynamic programming, control theory and game theory. A special section is devoted to review papers on theory and methods in interesting areas of mathematical programming and optimization techniques. The journal also publishes conference proceedings, book reviews and announcements. All published research articles in this journal have undergone rigorous peer review, based on initial editor screening and anonymous refereeing by independent expert referees.