Forward Rate Curve Smoothing

This article reviews the forward rate curve smoothing literature. The key contribution of this review is to link the static curve fitting exercise to the dynamic and arbitrage-free models of the term structure of interest rates. As such, this review introduces more economics to an almost exclusively mathematical exercise, and it identifies new areas for research related to forward rate curve smoothing.

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Year of publication:	2014
Authors:	Jarrow, Robert A.
Published in:	Annual Review of Financial Economics. - Annual Reviews, ISSN 1941-1367. - Vol. 6.2014, 1, p. 443-458
Publisher:	Annual Reviews
Subject:	forward rate curves \| polynomial splines \| smoothed splines \| term structure evolutions \| HJM model

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Extent:	application/pdf
Type of publication:	Article
Classification:	G12 - Asset Pricing ; E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011094537