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	Approximating term structure of interest rates using cubic L-1 splines
	Chiu, Nan-Chieh ; Fang, Shu-Cherng ; Lavery, John E. ; Lin, Jen-Yen ; Wang, Yong
	2010-05-06 ; 2010-05-06
关键词	B-spline finance geometric programming L-1 spline term structure GEOMETRIC-PROGRAMMING APPROACH SMOOTHING SPLINES BIVARIATE Management Operations Research & Management Science
中文摘要	Classical spline fitting methods for estimating the term structure of interest rates have been criticized for generating highly fluctuating fitting curves for bond price and discount function. In addition, the performance of these methods usually relies heavily on parameter tuning involving human judgement. To overcome these drawbacks, a recently developed cubic L-1 spline model is proposed for term structure analysis. Cubic L-1 splines preserve the shape of the data, exhibit no extraneous oscillation and have small fitting errors. Cubic L-1 splines are tested using a set of real financial data and compared with the widely used B-splines. (C) 2006 Elsevier B.V. All rights reserved.
语种	英语 ; 英语
出版者	ELSEVIER SCIENCE BV ; AMSTERDAM ; PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS
内容类型	期刊论文
源URL	[http://hdl.handle.net/123456789/14037]
专题	清华大学
推荐引用方式 GB/T 7714	Chiu, Nan-Chieh,Fang, Shu-Cherng,Lavery, John E.,et al. Approximating term structure of interest rates using cubic L-1 splines[J],2010, 2010.
APA	Chiu, Nan-Chieh,Fang, Shu-Cherng,Lavery, John E.,Lin, Jen-Yen,&Wang, Yong.(2010).Approximating term structure of interest rates using cubic L-1 splines..
MLA	Chiu, Nan-Chieh,et al."Approximating term structure of interest rates using cubic L-1 splines".(2010).

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