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| Author: | Roger, P. Rossiensky, N. |
| Title: | Estimation de la structure des taux par le simplexe et le lissage des taux de forward |
| Journal: | Finance
1995 : VOL. 16:1, p. 137-162 |
| Index terms: | TERM STRUCTURE OF INTEREST RATES METHODOLOGY |
| Language: | fre |
| Abstract: | Estimating the term structure of interest rates : simplex algorithm and smoothing methods. Two estimation methods, the first being realized by using the simplex algorithm and the second is aimed to mooth the forward rates curve. |
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