Manousopoulos, Polychronis; Michalopoulos, Michalis - In: European Journal of Operational Research 192 (2009) 2, pp. 594-602
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...