Estimating yield curve noise
Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2018.
| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2018
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| Online Access: | http://hdl.handle.net/1721.1/118001 |
| _version_ | 1826213920705085440 |
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| author | Abrahams, Michael (Michael G.) |
| author2 | Adrien Verdelhan. |
| author_facet | Adrien Verdelhan. Abrahams, Michael (Michael G.) |
| author_sort | Abrahams, Michael (Michael G.) |
| collection | MIT |
| description | Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2018. |
| first_indexed | 2024-09-23T15:56:57Z |
| format | Thesis |
| id | mit-1721.1/118001 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T15:56:57Z |
| publishDate | 2018 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/1180012019-04-11T00:34:36Z Estimating yield curve noise Abrahams, Michael (Michael G.) Adrien Verdelhan. Sloan School of Management. Sloan School of Management. Sloan School of Management. Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2018. Cataloged from PDF version of thesis. Includes bibliographical references (pages 27-29). In this paper, I explore methods for estimating noise in the yield curve. I evaluate optimization methods for fitting yield curves using the Nelson-Siegel model where recommendations in the literature remain unclear. I provide open source code on Github including contributions to the QuantLib C++ financial library. by Michael Abrahams. S.M. in Management Research 2018-09-17T15:53:19Z 2018-09-17T15:53:19Z 2018 2018 Thesis http://hdl.handle.net/1721.1/118001 1051300195 eng MIT theses are protected by copyright. They may be viewed, downloaded, or printed from this source but further reproduction or distribution in any format is prohibited without written permission. http://dspace.mit.edu/handle/1721.1/7582 29 pages application/pdf Massachusetts Institute of Technology |
| spellingShingle | Sloan School of Management. Abrahams, Michael (Michael G.) Estimating yield curve noise |
| title | Estimating yield curve noise |
| title_full | Estimating yield curve noise |
| title_fullStr | Estimating yield curve noise |
| title_full_unstemmed | Estimating yield curve noise |
| title_short | Estimating yield curve noise |
| title_sort | estimating yield curve noise |
| topic | Sloan School of Management. |
| url | http://hdl.handle.net/1721.1/118001 |
| work_keys_str_mv | AT abrahamsmichaelmichaelg estimatingyieldcurvenoise |