A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE

Livio Marangio (), Massimo Massimo () and Alessandro Ramponi
Additional contact information
Livio Marangio: Istituto per le Applicazioni del Calcolo "Mauro Picone" — C.N.R., Via del Policlinico, 137-00161 Rome, Italy
Massimo Massimo: Istituto per le Applicazioni del Calcolo "Mauro Picone" — C.N.R., Via del Policlinico, 137-00161 Rome, Italy

International Journal of Theoretical and Applied Finance (IJTAF), 2002, vol. 05, issue 02, 189-221

Abstract: A number of techniques have been proposed for estimating theterm structure, yet solid theoretical foundations and a comparative assessment of the results produced by these techniques are not available. In the present paper we prove, within a well defined mathematical setting, how the existence ofdiscount factorsis possible only if the condition of absence of staticarbitrageis fulfilled. Besides that we report the results of an extensive set of tests whose scope is to show how the most widely used approaches in this field behave on both real and synthetic data.

Keywords: Arbitrage; term structure; splines; parsimonious models (search for similar items in EconPapers)
Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024902001419
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:05:y:2002:i:02:n:s0219024902001419

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024902001419

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().