| dc.contributor.advisor | Adrien Verdelhan. | en_US |
| dc.contributor.author | Abrahams, Michael (Michael G.) | en_US |
| dc.contributor.other | Sloan School of Management. | en_US |
| dc.date.accessioned | 2018-09-17T15:53:19Z | |
| dc.date.available | 2018-09-17T15:53:19Z | |
| dc.date.copyright | 2018 | en_US |
| dc.date.issued | 2018 | en_US |
| dc.identifier.uri | http://hdl.handle.net/1721.1/118001 | |
| dc.description | Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2018. | en_US |
| dc.description | Cataloged from PDF version of thesis. | en_US |
| dc.description | Includes bibliographical references (pages 27-29). | en_US |
| dc.description.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. | en_US |
| dc.description.statementofresponsibility | by Michael Abrahams. | en_US |
| dc.format.extent | 29 pages | en_US |
| dc.language.iso | eng | en_US |
| dc.publisher | Massachusetts Institute of Technology | en_US |
| dc.rights | 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. | en_US |
| dc.rights.uri | http://dspace.mit.edu/handle/1721.1/7582 | en_US |
| dc.subject | Sloan School of Management. | en_US |
| dc.title | Estimating yield curve noise | en_US |
| dc.type | Thesis | en_US |
| dc.description.degree | S.M. in Management Research | en_US |
| dc.contributor.department | Sloan School of Management. | en_US |
| dc.identifier.oclc | 1051300195 | en_US |
