Forward Rate Curve Smoothing

Literature Cited

1. Adams K, van Deventer D. 1994. Fitting yield curves and forward rate curves with maximum smoothness. J. Fixed Income 4:June52–62 [Google Scholar]
2. Andersen L. 2007. Discount curve construction with tension splines. Rev. Deriv. Res. 10:227–67 [Google Scholar]
3. Barzanti L, Corradi C. 1998. A note on interest rate term structure estimation using tension splines. Insur. Math. Econ. 22:139–43 [Google Scholar]
4. Bank for International Settlements. 2005. Zero-coupon yield curves: technical document. Res. Pap. 25, Bank. Int. Settl. http://www.bis.org/publ/bppdf/bispap25.htm
5. Bjork T, Christensen B. 1999. Interest rate dynamics and consistent forward rate curves. Math. Finance 9:4323–48 [Google Scholar]
6. Dai Q, Singleton K. 2003. Term structure dynamics in theory and reality. Rev. Financ. Stud. 16:3631–78 [Google Scholar]
7. Filipovic D. 2001. Consistency problems for Heath-Jarrow-Morton Interest Rate Models. (Lecture Notes in Mathematics) Berlin: Springer: [Google Scholar]
8. Fisher M, Nychka D, Zervos D. 1995. Fitting the term structure of interest rates with smoothing splines. Discuss. Pap. 95-1, Fed. Reserve Board
9. Janosi T. 2004. Arbitrage-free forward rate curves and applications. PhD Thesis, Cornell Univ
10. Jarrow R. 2009. The term structure of interest rates. Annu. Rev. Financ. Econ. 1:69–96 [Google Scholar]
11. Jarrow R, Turnbull S. 2000. Derivative Securities Chula Vista, CA: South-West. Coll., 2nd ed..
12. Hagan P, West G. 2006. Interpolation methods for curve construction. Appl. Math. Finance 13:289–129 [Google Scholar]
13. Heath D, Jarrow R, Morton A. 1992. Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation. Econometrica 60:77–105 [Google Scholar]
14. McCulloch J. 1971. Measuring the term structure of interest rates. J. Bus. 44:19–31 [Google Scholar]
15. Nelson C, Siegel A. 1987. Parsimonious modeling of yield curves. J. Bus. 60:4473–89 [Google Scholar]
16. Shea G. 1985. Interest rate term structure estimation with exponential splines: a note. J. Finance 40:319–25 [Google Scholar]
17. Svensson L. 1994. Estimating and interpreting forward interest rates: Sweden 1992–1994. Discuss. Pap. 1051, Cent. Econ. Policy Res
18. van Deventer D, Imai K, Mesler M. 2013. Advanced Financial Risk Management: Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management Singapore: Wiley:
19. Vasicek O, Fong HG. 1982. Term structure modeling using exponential splines. J. Finance 37:339–48 [Google Scholar]
20. Waggoner D. 1997. Spline methods for extracting interest rate curves from coupon bond prices. Work. Pap. 97-10, Fed. Reserve Bank, Atl