Comparing numerical methods for term structure fitting
Lukianov, Andrei (A.A. 2020/2021) Comparing numerical methods for term structure fitting. Tesi di Laurea in Advanced financial economics, Luiss Guido Carli, relatore Paolo Porchia, pp. 25. [Master's Degree Thesis]
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Abstract/Index
Yield curve fitting. Nelson-Siegel model. Loss function. Numerical methods. Starting values. Data set. Criteria for the choice of starting values. Results. Minimum RMSE. Convergence. RMSE distribution. Variation of the yields. CPU time. Economic interpretation.
References
Bibliografia: p. 23.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Advanced financial economics |
| Thesis Supervisor: | Porchia, Paolo |
| Thesis Co-Supervisor: | Santucci de Magistris, Paolo |
| Academic Year: | 2020/2021 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 16 Mar 2022 14:48 |
| Last Modified: | 16 Mar 2022 14:48 |
| URI: | https://tesi.luiss.it/id/eprint/31735 |
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