Comparison of non-linear optimization algorithms for yield curve estimation

The yield curve is a very important financial tool used in investment and policy decisions. Its estimation from market data is essentially a non-linear optimization problem. In this paper, we compare a diversity of non-linear optimization algorithms for estimating yield curves based on actual bond market data and conclude that certain classes of algorithms are more effective due to the nature of the problem.

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Year of publication:	2009
Authors:	Manousopoulos, Polychronis ; Michalopoulos, Michalis
Published in:	European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 192.2009, 2, p. 594-602
Publisher:	Elsevier
Keywords:	Finance OR in banking Non-linear programming Yield curve

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005239931