Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates

DOI10.1016/J.INSMATHECO.2023.11.003OpenAlexW4389163117MaRDI QIDQ6152712

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Publication date: 13 February 2024

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2023.11.003

zbMATH Keywords

solvency IIChinese government bondendogenous and positiveEURIBOR swaprisk-free interest rate curveSmith-Wilson methodultimate forward rate (UFR)

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial mathematics (91G05)

Cites Work

• Term structure extrapolation and asymptotic forward rates
• Issues with the Smith-Wilson method
• Interpolation Methods for Curve Construction
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing Interest-Rate-Derivative Securities

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