arXiv research

Classifies shapes of yield curves in the Svensson family.

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

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

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

Walczak formula is a very nice tool for understanding the geometry of a Riemannian manifold equipped with two orthogonal complementary distributions. Svensson [7] has shown that this formula simplifies to a Bochner type formula when we are dealing with Kähler manifolds and holomorphic (integrable) distributions. Here, …

The paper classifies natural almost Hermitian structures on Lie groups with minimal conformal leaves.

The term structure of interest rates or yield curve is a function relating the interest rate with its own term. Nonlinear regression models of Nelson-Siegel and Svensson were used to estimate the yield curve using a sample of historical data supplied by the National Stock Exchange of Costa Rica. The optimization proble…

In this paper we calibrate chaotic models for interest rates to market data using a polynomial-exponential parametrization for the chaos coefficients. We identify a subclass of one-variable models that allow us to introduce complexity from higher order chaos in a controlled way while retaining considerable analytic tra…

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

The paper introduces explainable $k$-means with axis-parallel hyperplanes for $d$-dimensional data.

There is by now a large consensus in modern monetary policy. This consensus has been built upon a dynamic general equilibrium model of optimal monetary policy as developed by, e.g., Goodfriend and King (1997), Clarida et al. (1999), Svensson (1999) and Woodford (2003). In this paper we extend the standard optimal monet…