Stripping the Yield Curve with Maximally Smooth Forward Curves
Continuous discount functions and forward rate curves are needed for nearly all asset pricing applications. Unfortunately, forward curves are not directly observable so they must be constructed from existing fixed-income security prices. In this paper I present two algorithms to construct maximally...
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| Format: | Others |
| Language: | English English |
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Florida State University
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| Online Access: | http://purl.flvc.org/fsu/fd/FSU_migr_etd-3526 |