Category Archives: Yield Curve Modeling

Yield Curve Construction Models – Tools & Techniques

Yield curve models are used to price a wide variety of interest rate-contingent claims. The purpose of this review is to gain a thorough understanding of current methodologies, to validate their theoretical frameworks and implementation, identify any weaknesses in the current modeling methodologies, and to suggest improvements or alternative approaches that may enhance the accuracy, generality and robustness of modeling procedures. Continue reading

Posted in Financial Engineering, Interest Rate Models, Spline Methods, Yield Curve Modeling | Tagged , , , | Comments Off