Nelson-Siegel model for estimation of term structure of interest rates

Juan Felipe Bedoya Guisao, Luis Fernando Montes Gómez, Horacio Fernández Castaño

Research output: Contribution to journalArticlepeer-review


© 2018. This article explains the mathematical and market approaches that were considered for the creation of the model of estimation of the term structure of interest rates. Additionally a methodology is presented by which the model object of study is applied, making use of 7 Colombian public debt securities, finally the conclusions are presented, in which it is emphasized mainly in the scope of the model at issue.
Original languageAmerican English
StatePublished - 1 Jan 2018


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