mdh.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Mispricing Due to Nelson-Siegel-Svensson model
Mälardalen University, School of Education, Culture and Communication.
2014 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Most trading software in the market uses linear interpolation in the bootstrap procedure to create a zero coupon interest rate curve. Forward interest rate curves created by interpolation method have a zigzag form that is inconsistent with arbitrage condition. Furthermore in the real world we are not able to detect the spot rates for all periods because the number of traded instruments is limited.

Nelson and Siegel in 1987 proposed a model to estimate the interest rates. They demonstrated that their model was flexible to capture the various possible shapes of the yield curve and estimates the term structure of interest rates over time.

Many Central banks are using the extended Nelson-Siegel model (sometimes called the Nelson-Siegel-Svensson model). This curve is parameterized with exponential functions, is smooth in both zero rate and forward rate and overcome those barrier (data mining problems and zigzag shape of forward interest rate curve), that we face by using linear interpolation to build the yield curve. The objective of this thesis is to study the Nelson and Siegel model and its extended version by Svensson, furthermore, study the adequacy and forecast performance of Nelson-Siegel-Svensson model in building the term structure of interest rate comparing with the linear interpolation method.

Place, publisher, year, edition, pages
2014. , 72 p.
National Category
Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-24612OAI: oai:DiVA.org:mdh-24612DiVA: diva2:703929
Supervisors
Examiners
Available from: 2014-11-03 Created: 2014-03-10 Last updated: 2014-11-03Bibliographically approved

Open Access in DiVA

fulltext(2139 kB)73 downloads
File information
File name FULLTEXT01.pdfFile size 2139 kBChecksum SHA-512
f48c0ceff9e7c19f62621befa0d33c757a6e1af334172519d3d39157b1b03a0b9e82188e15ed8febe21262379895063c20ced7d5755a9b8d6476ee19c2259467
Type fulltextMimetype application/pdf

By organisation
School of Education, Culture and Communication
Mathematics

Search outside of DiVA

GoogleGoogle Scholar
Total: 73 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 332 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf