Dirk Banholzer

Revisiting the fitting of the Nelson-Siegel and Svensson models

  • Dirk Banholzer
  • Jörg Fliege
  • Ralf Werner
    • Categories Finance and Economics, Global Optimization Applications, Nonlinear Systems and Least-Squares Tags , , , , ,

    The Nelson-Siegel and the Svensson models are two of the most widely used models for the term structure of interest rates. Even though the models are quite simple and intuitive, fitting them to market data is numerically challenging and various difficulties have been reported. In this paper, a novel mathematical analysis of the fitting problem … Read more

    A Radial Basis Function Method for Noisy Global Optimisation

  • Dirk Banholzer
  • Jörg Fliege
  • Ralf Werner
    • Categories Global Optimization, Global Optimization Theory

    We present a novel response surface method for global optimisation of an expensive and noisy (black-box) objective function, where error bounds on the deviation of the observed noisy function values from their true counterparts are available. The method is based on the well-established RBF method by Gutmann (2001a,c) for minimising an expensive and deterministic objective … Read more