Stefan Grosse

NORD/LB

Economics & Strategy

Friedrichswall 10

Hannover, 30159

Germany

University of Erfurt

PhD Candidate

Internationales Buro

Nordhaeuser Str. 63

D - 99089 Erfurt

Germany

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Calibrating the Nelson-Siegel-Svensson Model

Number of pages: 22 Posted: 16 Sep 2010 Last Revised: 22 Apr 2011
Manfred Gilli, Stefan Grosse and Enrico Schumann
University of Geneva - Research Center for Statistics, NORD/LB and Independent
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Citation 8

Abstract:

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Interest Rate Models, Term Structure Models, Nelson-Siegel, Nelson-Siegel-Svensson, Differential Evolution, R