{"title":"Revisiting the fitting of the Nelson–Siegel and Svensson models","authors":"Dirk Banholzer, Jörg Fliege, Ralf Werner","doi":"10.1080/02331934.2024.2389242","DOIUrl":null,"url":null,"abstract":"The Nelson–Siegel and the Svensson models are two widely used models for the term structure of interest rates. These models are quite simple and intuitive, but fitting them to market data is numeri...","PeriodicalId":54671,"journal":{"name":"Optimization","volume":null,"pages":null},"PeriodicalIF":1.6000,"publicationDate":"2024-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Optimization","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/02331934.2024.2389242","RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
引用次数: 0
Abstract
The Nelson–Siegel and the Svensson models are two widely used models for the term structure of interest rates. These models are quite simple and intuitive, but fitting them to market data is numeri...
期刊介绍：
Optimization publishes refereed, theoretical and applied papers on the latest developments in fields such as linear, nonlinear, stochastic, parametric, discrete and dynamic programming, control theory and game theory.
A special section is devoted to review papers on theory and methods in interesting areas of mathematical programming and optimization techniques. The journal also publishes conference proceedings, book reviews and announcements.
All published research articles in this journal have undergone rigorous peer review, based on initial editor screening and anonymous refereeing by independent expert referees.
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