英文标题：
《Exact Smooth Term-Structure Estimation》
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作者：
Damir Filipovi\\\'c and Sander Willems
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最新提交年份：
2018
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英文摘要：
We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is easy to implement and requires only basic linear algebra operations. We provide a full theoretical framework as well as several practical applications.
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中文摘要：
我们提出了一种基于Moore-Penrose伪逆的非参数方法来估计市场报价的折扣曲线。折扣曲线完美地再现了市场行情，具有最大的光滑性，并以闭合形式给出。该方法易于实现，只需要基本的线性代数运算。我们提供了完整的理论框架以及一些实际应用。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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