American Institute of Mathematical Sciences

This study makes use of the artificial intelligence approaches combined with some nonlinear optimization techniques for optimization of a well-known problem in financial engineering called yield curve. Yield curve estimation plays an important role on making strategic investment decisions. In this paper, we use two well-known parsimonious estimation models, Nelson-Siegel and Extended Nelson-Siegel, for the yield curve estimation. The proposed models of this paper are formulated as continuous nonlinear optimization problems. The resulted models are then solved using some nonlinear optimization and meta-heuristic approaches. The optimization techniques include hybrid GPSO parallel trust region-dog leg, Hybrid GPSO parallel trust region-nearly exact, Hybrid GPSO parallel Levenberg-Marquardt and Hybrid genetic electromagnetism like algorithm. The proposed models of this paper are examined using some real-world data from the bank of England and the results are analyzed.