This is a summary of links featured on Quantocracy on Sunday, 08/12/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Yield Curve Construction Models – Tools & Techniques [Jonathan Kinlay]Yield curve models are used to price a wide variety of interest rate-contingent claims. The existence of several different competing methods of curve construction available and there is no single standard method for constructing yield curves and alternate procedures are adopted in different business areas to suit local requirements and market conditions. This fragmentation has often led to