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dc.contributor.advisorAdrien Verdelhan.en_US
dc.contributor.authorAbrahams, Michael (Michael G.)en_US
dc.contributor.otherSloan School of Management.en_US
dc.date.accessioned2018-09-17T15:53:19Z
dc.date.available2018-09-17T15:53:19Z
dc.date.copyright2018en_US
dc.date.issued2018en_US
dc.identifier.urihttp://hdl.handle.net/1721.1/118001
dc.descriptionThesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2018.en_US
dc.descriptionCataloged from PDF version of thesis.en_US
dc.descriptionIncludes bibliographical references (pages 27-29).en_US
dc.description.abstractIn 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.statementofresponsibilityby Michael Abrahams.en_US
dc.format.extent29 pagesen_US
dc.language.isoengen_US
dc.publisherMassachusetts Institute of Technologyen_US
dc.rightsMIT 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.urihttp://dspace.mit.edu/handle/1721.1/7582en_US
dc.subjectSloan School of Management.en_US
dc.titleEstimating yield curve noiseen_US
dc.typeThesisen_US
dc.description.degreeS.M. in Management Researchen_US
dc.contributor.departmentSloan School of Management.en_US
dc.identifier.oclc1051300195en_US


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