Forward Rate Curve Smoothing

Robert Jarrow ()

Annual Review of Financial Economics, 2014, vol. 6, issue 1, 443-458

Abstract: This article reviews the forward rate curve smoothing literature. The key contribution of this review is to link the static curve fitting exercise to the dynamic and arbitrage-free models of the term structure of interest rates. As such, this review introduces more economics to an almost exclusively mathematical exercise, and it identifies new areas for research related to forward rate curve smoothing.

Keywords: forward rate curves; polynomial splines; smoothed splines; term structure evolutions; HJM model (search for similar items in EconPapers)
JEL-codes: E43 G12 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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