Comparison of non-linear optimization algorithms for yield curve estimation

Polychronis Manousopoulos and Michalis Michalopoulos

European Journal of Operational Research, 2009, vol. 192, issue 2, 594-602

Abstract: 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.

Keywords: Finance; OR; in; banking; Non-linear; programming; Yield; curve (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:192:y:2009:i:2:p:594-602

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