@article{(Open Science Index):https://publications.waset.org/pdf/10004553, title = {A Hybrid Particle Swarm Optimization-Nelder- Mead Algorithm (PSO-NM) for Nelson-Siegel- Svensson Calibration}, author = {Sofia Ayouche and Rachid Ellaia and Rajae Aboulaich}, country = {}, institution = {}, abstract = {Today, insurers may use the yield curve as an indicator evaluation of the profit or the performance of their portfolios; therefore, they modeled it by one class of model that has the ability to fit and forecast the future term structure of interest rates. This class of model is the Nelson-Siegel-Svensson model. Unfortunately, many authors have reported a lot of difficulties when they want to calibrate the model because the optimization problem is not convex and has multiple local optima. In this context, we implement a hybrid Particle Swarm optimization and Nelder Mead algorithm in order to minimize by least squares method, the difference between the zero-coupon curve and the NSS curve.}, journal = {International Journal of Economics and Management Engineering}, volume = {10}, number = {4}, year = {2016}, pages = {1365 - 1369}, ee = {https://publications.waset.org/pdf/10004553}, url = {https://publications.waset.org/vol/112}, bibsource = {https://publications.waset.org/}, issn = {eISSN: 1307-6892}, publisher = {World Academy of Science, Engineering and Technology}, index = {Open Science Index 112, 2016}, }