Approximating term structure of interest rates using cubic L1 splines

European Journal of Operational Research

Volumn 184, Issue 3, 2008, Pages 990-1004

  Chiu, Nan Chieh ^a   Fang, Shu Cherng ^b,c   Lavery, John E ^d   Lin, Jen Yen ^e   Wang, Yong ^f  

^a Polaris Securities   (Taiwan)

^b NORTH CAROLINA STATE UNIVERSITY   (United States)

^c TSINGHUA UNIVERSITY   (China)

^d U S ARMY RESEARCH LABORATORY   (United States)

^e NATIONAL CHIAYI UNIVERSITY   (Taiwan)

^f SAS INSTITUTE INC   (United States)

Author keywords

B spline; Finance; Geometric programming; L1 spline; Term structure

Indexed keywords

APPROXIMATION THEORY; ERROR ANALYSIS; FUNCTIONS; MATHEMATICAL MODELS;

B-SPLINE; DISCOUNT FUNCTION; GEOMETRIC PROGRAMMING; TERM STRUCTURE;

FINANCIAL DATA PROCESSING;

EID: 34548545172     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2006.12.008     Document Type: Article

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