ESTIMATING DISCOUNT RATE WITH EXTENDED NELSON SIEGEL VENSSON MODELS

Muslim, Muslim and Rosadi, Dedi and Gunardi, Gunardi and Abdurakhman, Abdurakhman (2011) ESTIMATING DISCOUNT RATE WITH EXTENDED NELSON SIEGEL VENSSON MODELS. In: The International Conference on Numerical Analysis and Optimization (ICeMATH 2011), June, 06-07, 2011, UAD, Yogyakarta. (In Press)

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Abstract

Nelson Siegel Svenson model usually is used for yield curve analysis. This model is very complicated because consist of about eight variables, so it will be problem to solve and optimize this model. This paper aims to discuss about solution of Nelson Siegel Svenson model by using Gauss-Newton method and Levenberg-Marquardt algorithms. The solution will be derived theoritically and it will be ilustrated by numerical example.

Type: Conference (Paper)
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Engineering, Science and Mathematics > School of Mathematics
Depositing User: MUSLIM
Date Deposited: 08 Feb 2017 07:20
Last Modified: 08 Feb 2017 07:20
URI: http://repository.unja.ac.id/id/eprint/254

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