Forecasting the Yield Curve with S-Plus: Wilmott Magazine Article – Dario Cziráky, PhD

Methods capable of forecasting the entire yield curve based on a time series extension of the Nelson-Siegel model Nelson and Siegel (1987) were suggested in the literature and compared to the non-parametric alternatives Diebold and Li (2004).

Logged-in members can download the article by clicking the link below. To log in or register visit here.

Related Posts

A VaR-based Model for the Yield Curve An intuitive model for the yield curve, based on the notion of value-at-risk, is presented. It leads to interest rates that hedge against potentia...
The Valuation of Callable Bonds with Floored CMS-s... A new type of structured bond has recently been introduced with enormous success, primarily among private investors, in many countries in Europe. The ...
Finformatics: How to Measure Really Small Things Traders in financial assets implicitly compare the trading price to the stream of dividends the assets stand to generate. Clearly, a key determina...
Pricing Rainbow Options A previous paper (West 2005) tackled the issue of calculating accurate uni-, bi- and trivariate normal probabilities. This has important applicati...
Valuation of American Call Options The purpose of this paper is to provide an analytical solution for American call options assuming proportional dividends. Proportional dividends are m...
Life Settlements and Viaticals In this chapter… • life • sex • death 1 Introduction And now for something completely. . .morbid. Life settlements and viaticals are contra...
Calibration problems – An inverse problems v... When pricing structured or derivative financial instruments, the typical steps a quant has to do are the following: 1. Choose a model for the m...
Practical Valuation of Power Derivatives In this paper I look at the practical valuation of power derivatives from a trader’s perspective. Most people that have written about valuation of pow...
130322_cziraky