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) |
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| 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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