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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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.


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


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