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Modellierung von Zinsstrukturkurven
Hewicker, Harald; Cremers, Heinz - 2011
Being able to model yield curves from observed bond yields is essential in capital markets. Yield curves are required to accurately price financial products as well as to correctly assess the macroeconomic situation of economies. Current models based on the work of Nelson/Siegel et al. apply a...
Persistent link: https://www.econbiz.de/10010305888
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Interpolation of Discount Factors
Cremers, Heinz; Schwarz, Willi - Frankfurt School of Finance & Management - 1996
This paper deals with the problem of interpolation of discount factors betweentime buckets. The problem occurs when … inorder to identify arbitrage-free robust interpolation methods. Methods closelyexamined include linear, exponential and … weighted exponential interpolation.Weighted exponential interpolation, a method still preferred by some banks andalso offered …
Persistent link: https://www.econbiz.de/10005865859
Cover Image
Modellierung von Zinsstrukturkurven
Hewicker, Harald; Cremers, Heinz - Frankfurt School of Finance and Management - 2011
Being able to model yield curves from observed bond yields is essential in capital markets. Yield curves are required to accurately price financial products as well as to correctly assess the macroeconomic situation of economies. Current models based on the work of Nelson/Siegel et al. apply a...
Persistent link: https://www.econbiz.de/10009228816