Estimating yield curve noise

Author(s)
Abrahams, Michael (Michael G.)
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Sloan School of Management.
Advisor
Adrien Verdelhan.
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MIT theses are protected by copyright. They may be viewed, downloaded, or printed from this source but further reproduction or distribution in any format is prohibited without written permission. http://dspace.mit.edu/handle/1721.1/7582
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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).
 
Date issued
2018
URI
http://hdl.handle.net/1721.1/118001
Department
Sloan School of Management
Publisher
Massachusetts Institute of Technology
Keywords
Sloan School of Management.
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