Financial models | Mathematical finance | Interest rates

Bootstrapping (finance)

In finance, bootstrapping is a method for constructing a (zero-coupon) fixed-income yield curve from the prices of a set of coupon-bearing products, e.g. bonds and swaps. A bootstrapped curve, correspondingly, is one where the prices of the instruments used as an input to the curve, will be an exact output, when these same instruments are valued using this curve.Here, the term structure of spot returns is recovered from the bond yields by solving for them recursively, by forward substitution: this iterative process is called the bootstrap method. The usefulness of bootstrapping is that using only a few carefully selected zero-coupon products, it becomes possible to derive par swap rates (forward and spot) for all maturities given the solved curve. (Wikipedia).

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From playlist CS50 Seminars 2016

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(ML 2.6) Bootstrap aggregation (Bagging)

The statistical technique of "bagging", to reduce the variance of a classification or regression procedure. A playlist of these Machine Learning videos is available here: http://www.youtube.com/my_playlists?p=D0F06AA0D2E8FFBA

From playlist Machine Learning

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In this video I introduce you to bootstrap calibration, a technique for improving your confidence intervals, and explain how and why it is so useful.

From playlist Statistical Inference

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Jacob Thornton interviewed at OSCON 2012

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From playlist OSCON 2012

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From playlist StatQuest

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From playlist Statistics and machine learning

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From playlist Risk Foundations (FRM Topic 1)

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SOURCE Boston 2008: Entrepreneur Panel

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From playlist SOURCE Boston 2008

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From playlist Data Analytics and Geostatistics

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Interpolation | Libor | Nelson-Siegel | Closed-form expression | Yield curve | Short-rate model | Overnight indexed swap | Smoothness | Algorithm | Overnight rate | Multi-curve framework