Interest Rate Term Structure Modeling Using Free‐Knot Splines*

The Journal of Business ◽

10.1086/508009 ◽

2006 ◽

Vol 79 (6) ◽

pp. 3083-3099 ◽

Author(s):

Fernando Fernández‐Rodríguez

Keyword(s):

Interest Rate ◽

Term Structure ◽

Structure Modeling ◽

Interest Rate Term Structure ◽

Term Structure Modeling

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Introduction to Interest Rate Term Structure Modeling

Quantitative Analysis, Derivatives Modeling, and Trading Strategies ◽

10.1142/9789812706652_0005 ◽

2007 ◽

pp. 212-217

Keyword(s):

Interest Rate ◽

Term Structure ◽

Structure Modeling ◽

Interest Rate Term Structure ◽

Term Structure Modeling

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Free-Form Interest Rate Term Structure Decomposition: A 2nd Order Optimization Problem

SSRN Electronic Journal ◽

10.2139/ssrn.2703683 ◽

2015 ◽

Author(s):

Brian Barnard

Keyword(s):

Interest Rate ◽

Term Structure ◽

Optimization Problem ◽

Free Form ◽

Structure Decomposition ◽

Interest Rate Term Structure

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Interest Rate Term Structure Decomposition at the Issue Level: Model and Implications

SSRN Electronic Journal ◽

10.2139/ssrn.2755887 ◽

2016 ◽

Author(s):

Brian Barnard

Keyword(s):

Interest Rate ◽

Term Structure ◽

Structure Decomposition ◽

Level Model ◽

Interest Rate Term Structure

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Introduction to Term Structure Modeling

Financial Engineering and Computation ◽

10.1017/cbo9780511546839.024 ◽

2001 ◽

pp. 328-344

Keyword(s):

Term Structure ◽

Structure Modeling ◽

Term Structure Modeling

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Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations

Journal of Financial and Quantitative Analysis ◽

10.2307/2331089 ◽

1984 ◽

Vol 19 (3) ◽

pp. 253 ◽

Author(s):

Gary S. Shea

Keyword(s):

Interest Rate ◽

Term Structure ◽

Structure Data ◽

Equilibrium Models ◽

Interest Rate Term Structure

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Filtering for Stochastic Volatility by Using Exact Sampling and Application to Term Structure Modeling

Informatics in Control, Automation and Robotics - Lecture Notes in Electrical Engineering ◽

10.1007/978-3-319-10891-9_19 ◽

2014 ◽

pp. 329-348

Author(s):

ShinIchi Aihara ◽

Arunabha Bagchi ◽

Saikat Saha

Keyword(s):

Stochastic Volatility ◽

Term Structure ◽

Structure Modeling ◽

Exact Sampling ◽

Term Structure Modeling

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Qualms About the Linearized Expectations Hypothesis and Variance-Bounds Studies of the Interest Rate Term Structure

Lecture Notes in Economics and Mathematical Systems - Econometric Decision Models ◽

10.1007/978-3-642-51675-7_18 ◽

1991 ◽

pp. 305-319 ◽

Author(s):

Gary S. Shea

Keyword(s):

Interest Rate ◽

Term Structure ◽

Variance Bounds ◽

Expectations Hypothesis ◽

Interest Rate Term Structure ◽

The Interest Rate

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Krippner Framework for ZLB Term Structure Modeling

Zero Lower Bound Term Structure Modeling ◽

10.1057/9781137401823.0011 ◽

2015 ◽

Keyword(s):

Term Structure ◽

Structure Modeling ◽

Term Structure Modeling

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Fuzzy Interest Rate Term Structure Equation

International Journal of Fuzzy Systems ◽

10.1007/s40815-020-00810-3 ◽

2020 ◽

Vol 22 (3) ◽

pp. 999-1006

Author(s):

Le Bo ◽

Cuilian You

Keyword(s):

Interest Rate ◽

Term Structure ◽

Structure Equation ◽

Interest Rate Term Structure

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093078 (E51) Interest rate risk management: Developments in interest rate term structure modelling for risk management and valuation of interest-rate-dependent cash flows

Insurance Mathematics and Economics ◽

10.1016/s0167-6687(97)89233-5 ◽

1997 ◽

Vol 20 (3) ◽

pp. 275 ◽

Keyword(s):

Risk Management ◽

Interest Rate ◽

Term Structure ◽

Interest Rate Risk ◽

Rate Dependent ◽

Rate Risk ◽

Interest Rate Risk Management ◽

Interest Rate Term Structure

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