interpolation and find them not to be completely satisfactory. Accordingly, we extend to arbitrary degree the interpolant proposed …

interpolation. The method allows using sparse grids and thus mitigates the curse of dimensionality. A framework of the pricing … algorithm and the corresponding interpolation methods are discussed, and a theorem is demonstrated that suggests that the …

use in models with large choice sets and complicated error structures. The performance of the interpolation method appears …

This paper surveys a wide selection of the interpolation algorithms that are in use in financial markets for … issue of bootstrapping is reviewed and how the interpolation algorithm should be intimately connected to the bootstrap … (or indeed an inhouse developer) as a viable option for yield curve interpolation. As will be seen, many of these methods …