Essays about: "PENNY PENG CHENG ANDERSSON"

Found 1 essay containing the words PENNY PENG CHENG ANDERSSON.

  1. 1. Yield curve estimation models with real market data implementation and performance observation

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Penny Peng Cheng Andersson; [2020]
    Keywords : Yield curve; Yield curve estimation models; Boostrapping; Smith Wilson; Nelson Siegel; the extended Nelson Siegel;

    Abstract : It always exists different methods/models to build a yield curve from a set of observed market rates even when the curve completely reproduces the price of the given instruments. To create an accurate and smooth interest rate curve has been a challenging all the time. READ MORE