Estimating yield curve noise
Author(s)
Abrahams, Michael (Michael G.)
DownloadFull printable version (2.902Mb)
Other Contributors
Sloan School of Management.
Advisor
Adrien Verdelhan.
Terms of use
Metadata
Show full item recordAbstract
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
2018Department
Sloan School of ManagementPublisher
Massachusetts Institute of Technology
Keywords
Sloan School of Management.