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Showing 1 to 6 of 6 for “"Nelson-Siegel model"”.
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Modeling a Two-currency Affine Arbitrage-free Nelson-Siegel Term Structure Model
… the most popular term structure of interest rate models. In order to understand different features of each model, we classify by means of general characteristics, from single-factor to multi-factor and forward rate based models. Each of these existing term structure models has its own advantages …
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Estimating yield curve noise
… methods for fitting yield curves using the Nelson-Siegel model where recommendations in the literature remain unclear. I provide open source code on Github including contributions to the QuantLib C++ financial library.
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Development and Calibration of Relative Value Trading Models
… 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 Nelson Siegel and Svensson model (rv-NSS). Chapter four …
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Essays on Term Structures
… relative goodness of fit of two term structure models, the Cox, Ingersoll and Ross (CIR hereafter) 2-factor model and a two factor essentially affine model, EA1(2). The latter model generates correlation between the factors and time-varying risk premia. However these characteristics increase the …
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Longevity Risk: Retirement Product Innovation and Risk Management Strategies
… risks in a pooled annuity fund using multi-state models of functional disability and health status. We make two contributions to the literature. First, we propose a theoretical framework for pooling mortality risk across multiple health states. Second, as a practical contribution, we introduce a …
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Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis
In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia …