Yield curve estimation by spline-based models

Baki, İsa
This thesis uses Spline-based model, which was developed by McCulloch, and parsimonious model, which was developed by Nelson-Siegel, to estimate the yield curves of zero-coupon bonds in Turkey. In this thesis, we construct the data by using Turkish secondary government zero-coupon bond data, which contain the data from January 2005 to June 2005. After that, relative performances of models are compared using in-sample goodness of fit. As a result, we see that performance of McCulloch model in fitting yield is better than that of Nelson-Siegel model.


Development of an incompressible navier-stokes solver with alternating cell direction implicit method on structured and unstructured quadrilateral grids
Baş, Onur; Tuncer, İsmail Hakkı; Department of Aerospace Engineering (2007)
In this research, the Alternating Cell Direction Implicit method is used in temporal discretisation of the incompressible Navier-Stokes equations and compared with the well known and widely used Point Gauss Seidel scheme on structured and quadrilateral unstructured meshes. A two dimensional, laminar and incompressible Navier-Stokes solver is developed for this purpose using the artificial compressibility formulation. The developed solver is used to obtain steady-state solutions with implicit time stepping m...
A discontinuous subgrid eddy viscosity method for the time-dependent Navier-Stokes equations
Kaya Merdan, Songül (Society for Industrial & Applied Mathematics (SIAM), 2005-01-01)
In this paper we provide an error analysis of a subgrid scale eddy viscosity method using discontinuous polynomial approximations for the numerical solution of the incompressible Navier-Stokes equations. Optimal continuous in time error estimates of the velocity are derived. The analysis is completed with some error estimates for two fully discrete schemes, which are first and second order in time, respectively.
Error analysis for the numerical evaluation of the diagonal forms of the scalar spherical addition theorem
Koc, S; Song, JM; Chew, WC (Society for Industrial & Applied Mathematics (SIAM), 1999-04-29)
The numerical solution of wave scattering from large objects or from a large cluster of scatterers requires excessive computational resources and it becomes necessary to use approximate-but fast-methods such as the fast multipole method; however, since these methods are only approximate, it is important to have an estimate for the error introduced in such calculations. An analysis of the error for the fast multipole method is presented and estimates for truncation and numerical integration errors are obtain...
Solution of helmholtz type equations by differential quadrature method
Kuruş, Gülay; Tezer, Münevver; Department of Mathematics (2004)
This thesis presents the Differential Quadrature Method (DQM) for solving Helmholtz, modified Helmholtz and Helmholtz eigenvalue-eigenvector equations. The equations are discretized by using Polynomial-based and Fourier-based differential quadrature technique wich use basically polynomial interpolation for the solution of differential equation.
Implementation of different flux evaluation schemes into a two-dimensional Euler solver
Eraslan, Elvan; Aksel, Mehmet Haluk; Department of Mechanical Engineering (2006)
This study investigates the accuracy and efficiency of several flux splitting methods for the compressible, two-dimensional Euler equations. Steger-Warming flux vector splitting method, Van Leer flux vector splitting method, The Advection Upstream Splitting Method (AUSM), Artificially Upstream Flux Vector Splitting Scheme (AUFS) and Roe’s flux difference splitting schemes were implemented using the first- and second-order reconstruction methods. Limiter functions were embedded to the second-order reconstruc...
Citation Formats
İ. Baki, “Yield curve estimation by spline-based models,” M.S. - Master of Science, Middle East Technical University, 2006.