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Forward Rate Curve Smoothing

Forward Rate Curve Smoothing This article reviews the forward rate curve smoothing literature. The key contribution of this review is to link the static curve fitting exercise to the dynamic and arbitrage-free models of the term structure of interest rates. As such, this review introduces more economics to an almost exclusively mathematical exercise, and it identifies new areas for research related to forward rate curve smoothing. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Annual Review of Financial Economics Annual Reviews

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Publisher
Annual Reviews
Copyright
Copyright © 2014 by Annual Reviews. All rights reserved
ISSN
1941-1367
eISSN
1941-1375
DOI
10.1146/annurev-financial-022114-112903
Publisher site
See Article on Publisher Site

Abstract

This article reviews the forward rate curve smoothing literature. The key contribution of this review is to link the static curve fitting exercise to the dynamic and arbitrage-free models of the term structure of interest rates. As such, this review introduces more economics to an almost exclusively mathematical exercise, and it identifies new areas for research related to forward rate curve smoothing.

Journal

Annual Review of Financial EconomicsAnnual Reviews

Published: Dec 1, 2014

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