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dc.creatorQuirós Granados, Andrés
dc.creatorTrejos Zelaya, Javier
dc.date.accessioned2017-11-09T21:15:45Z
dc.date.available2017-11-09T21:15:45Z
dc.date.issued2017-06-30
dc.identifier.urihttp://hdl.handle.net/10669/73442
dc.description.abstractThe term structure of interest rates or yield curve is a function relating the interest rate with its own term. Nonlinear regression models of Nelson-Siegel and Svensson were used to estimate the yield curve using a sample of historical data supplied by the National Stock Exchange of Costa Rica. The optimization problem involved in the estimation process of model parameters is addressed by the use of metaheuristics: Ant colony, Genetic algorithm, Particle swarm and Simulated annealing. The aim of the study is to improve the local minimum obtained by an optimization method using descent direction. Good results with at least two metaheuristics are achieved, Particle swarm and Simulated annealing.es_ES
dc.language.isoen_USes_ES
dc.sourceSan José, Costa Rica: Universidad de Costa Ricaes_ES
dc.subjectYield curvees_ES
dc.subjectNelson-Siegel modeles_ES
dc.subjectSvensson modeles_ES
dc.subjectAnt colonyes_ES
dc.subjectGenetic algorithmes_ES
dc.subjectParticle swarmes_ES
dc.subjectSimulated annealinges_ES
dc.titleEstimation of the yield curve for Costa Rica using metaheuristic optimizationes_ES
dc.typeinfo:eu-repo/semantics/preprintes_ES
dc.typePreprintes_ES
dc.description.procedenceUCR::Vicerrectoría de Investigación::Unidades de Investigación::Ciencias Básicas::Centro de Investigaciones en Matemáticas Puras y Aplicadas (CIMPA)es_ES


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