Estimating yield curve noise
Name
1051300195-MIT.pdf
Description
Full printable version
Size
2.9 MB
Format
Adobe PDF
Checksum (MD5)
1e9b046994077e02bcb4f8bc4241022e
Author(s)
Abrahams, Michael (Michael G.)
Advisor(s)
Adrien Verdelhan.
Date Issued
2018
Publisher
Massachusetts Institute of Technology
Abstract
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.
Description
Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2018.
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 27-29).
Subjects
Sloan School of Management.
MIT Department
Sloan School of Management
Terms of Use
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