Term structure extrapolation and asymptotic forward rates

DOI10.1016/J.INSMATHECO.2015.11.001zbMath1348.91289OpenAlexW2188150167MaRDI QIDQ282277

F. Blanchet-Sadri, M. Dambrine

Publication date: 12 May 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://dare.uva.nl/personal/pure/en/publications/term-structure-extrapolation-and-asymptotic-forward-rates(3cf3908b-4826-45d5-934b-32f0eee92954).html

zbMATH Keywords

extrapolationterm structureasymptotic forward ratesexponential tension splineSmith-Wilson algorithm

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (4)

Issues with the Smith-Wilson method ⋮ Extrapolating Long-Run Yield Curves: An Innovative and Consistent Approach ⋮ Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates ⋮ Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model

Cites Work

• Unnamed Item
• Discount curve construction with tension splines
• Properties of splines in tension
• A note on interest rate term structure estimation using tension splines
• Interpolation Methods for Curve Construction
• Pricing Interest-Rate-Derivative Securities
• An Interpolation Curve Using a Spline in Tension

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