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Methods for Constructing a Yield Curve: Wilmott Magazine Article
Patrick S. Hagan & Graeme West 1645 Views

In this paper we survey a wide selection of the interpolation algorithms that are in use in financial markets for construction of curves such as forward curves, basis curves, and most importantly, yield curves. In the case of yield curves we also review the issue of bootstrapping and discuss how the interpolation algorithm should be in- timately connected to the bootstrap itself.
Letters from a Steel Town: Calibration problems - An inverse problems view: Wilmott Magazine Article
Heinz W. Engl 1122 Views

When pricing structured or derivative financial instruments, the typical steps a quant has to do are the following: 1. Choose a model for the movement of the underlying(s) 2. Identify ("calibrate") the model parameters from market prices of liquid instruments 3. Calculate the fair value of the structured instrument by appropriate numerical techniques. We will concentrate on step 2 in this article..

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