产量(工程)
收益率曲线
估计
线性规划
数学优化
债券
计算机科学
优化算法
最优化问题
算法
数学
经济
财务
管理
冶金
材料科学
作者
Polychronis Manousopoulos,Michalis Michalopoulos
标识
DOI:10.1016/j.ejor.2007.09.017
摘要
The yield curve is a very important financial tool used in investment and policy decisions. Its estimation from market data is essentially a non-linear optimization problem. In this paper, we compare a diversity of non-linear optimization algorithms for estimating yield curves based on actual bond market data and conclude that certain classes of algorithms are more effective due to the nature of the problem.
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