Search Results - subject:"Convex minimization"

Weak and strong convergence theorems for new resolvents of maximal monotone operators in Banach spaces

Ibaraki, Takanori; Takahashi, Wataru - In: Advances in mathematical economics 10 (2007), pp. 51-64

Persistent link: https://www.econbiz.de/10003538248

A CONSTRAINED LEAST SQUARE METHOD FOR ESTIMATING A SMOOTH, NONNEGATIVE FORWARD RATE SEQUENCE

KONNO, HIROSHI; ITO, SUMITO - In: International Journal of Theoretical and Applied … 08 (2005) 07, pp. 989-998

We will develop an efficient method for estimating a smooth nonnegative forward rate sequence using the market price of riskless bonds. This method is an improvement of the classical Carleton–Cooper's method based on standard least square method, which often generates a non-smooth forward rate...

Persistent link: https://www.econbiz.de/10004971734

Convex Structure of the Constrained Least Square Problem for Estimating the Forward Rate Sequence

KONNO, HIROSHI - In: Asia-Pacific Financial Markets 4 (1997) 2, pp. 179-185

sequence by using the market prices of default-free non-callable coupon bonds is in fact a convex minimization problem under … least square approach can generate a smooth and accurate forward rate sequence very fast by standard convex minimization …

Persistent link: https://www.econbiz.de/10005075675