Estimating yield curve the Svensson extended model using L-BFGS-B method approach

Muslim, Muslim and Rosadi, Dedi and Gunardi, Gunardi and Abdurakman, Abdurakman (2014) Estimating yield curve the Svensson extended model using L-BFGS-B method approach. In: ISM-II 2014, Agust, 12-14, 2014, Pahang, Malaysia. (In Press)

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Abstract

Yield curve is curves that describe the magnitude of the yield against maturity. To describe this curve, we use the Svensson model. One extension of this model is Rezende-Ferreira. Expansion undertaken by Rezende-Ferreira has weaknesses that there are several parameters have the same value. These values form Nelson-Siegel model. In this paper, we propose expansion of Svensson model. These models are non-linear model, so it is more difficult to estimate. To overcome this problem, we propose Nonlinear Least Square by L-BFGS-B method approach.

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 07:21
Last Modified: 08 Feb 2017 07:21
URI: http://repository.unja.ac.id/id/eprint/257

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