Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 2 of 2 for “"Nelson and Siegel model"”.
-
Development and Calibration of Relative Value Trading Models
… thesis presents research into the development and calibration of relative value fixed income trading models. The first chapter provides some background into the models studied, chapters two and three focus on calibration problems relating to an earlier version of the model: the relative value …
-
Forecasting the Yield Curve of Government Bonds: A Comparative Study
… have applied the Kalman filter to the modeling and forecasting the term structure of interest rates. Despite its impressive performance in in-sample fitting yield curves, little research has focused on the out-of-sample forecast of yield curves using the Kalman filter. The goal of this …