Estimating yield curve noise

In this paper, I explore methods for estimating noise in the yield curve. I evaluate optimization 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.

Department dc:contributor.department

Sloan School of Management.

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2018

Author dc:creator

• Abrahams, Michael (Michael G.)

Advisor dc:contributor.advisor

• Adrien Verdelhan.

• Sloan School of Management.

Statement dc:rights

• MIT theses are protected by copyright. They may be viewed, downloaded, or printed from this source but further reproduction or distribution in any format is prohibited without written permission.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/1721.1/118001

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/118001