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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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0111 · Aug 202119922001200920172026
4 results for “Nelson-Siegel-Svensson”
Calibrating the Nelson-Siegel-Svensson Model by Genetic Algorithmq-fin.RM

Genetic Algorithm improves Nelson-Siegel-Svensson model calibration for interest rates.

problem Calibrating the Nelson-Siegel-Svensson model is difficult due to nonlinearity and parameter co-dependence.
method Applied Genetic Algorithm to optimize model parameters.
result Constructs stable interest rate curves and model parameters over time.
Genetic AlgorithmNelson-Siegel-SvenssonInterest RatesCalibrationOptimization
2021-08-03abs ↗pdf ↗
Orthogonal reparametrization of the Nelson-Siegel-Svensson interest rate curve model: conditioning, diagnostics, and identifiabilityq-fin.CP

We orthogonalize the NSS model to condition and diagnose its ill-conditioned parameters.

problem The ill-conditioning of the NSS model's design matrix.
method Exact orthogonal reparametrization via QR decomposition.
result Orthogonalization isolates the conditioning structure and maintains fit uncertainty.
Nelson-Siegel-Svenssoninterest rate curveill-conditioningQR decompositionidentifiability
2026-04-21abs ↗pdf ↗
Robust Yield Curve Estimation for Mortgage Bonds Using Neural Networkscs.LG

Neural network model improves robustness of mortgage bond yield curve estimation.

problem Overfitting and instability in traditional yield curve estimation methods for small mortgage bond markets.
method Neural network framework with a new loss function for smoothness and stability.
result Empirical results show more robust and stable yield curve estimates compared to existing methods.
yield curve estimationneural networksmortgage bondsrobustnesssmoothness
2025-10-24abs ↗pdf ↗
Modeling the yield curve of Burundian bond market by parametric modelsq-fin.GN

This study models Burundi's bond market yield curve using Nelson-Siegel and Svensson models.

problem Modeling the yield curve of Burundian bond market for financial analytics.
method Collected treasury securities auction reports, computed zero-coupon rates, and applied Nelson-Siegel and Svensson models.
result Nelson-Siegel model is optimal for Burundian yield curve modeling.
yield curveBurunditreasury securitiesNelson-SiegelSvensson
2023-09-30abs ↗pdf ↗