Issues with the Smith-Wilson method (Q2374100)

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Issues with the Smith-Wilson method
scientific article

    Statements

    title
    Issues with the Smith-Wilson method (English)
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    publication date
    14 December 2016
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    zbMATH Keywords
    Smith-Wilson
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    discount curve
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    yield curve
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    interpolation
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    extrapolation
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    hedging
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    totally positive matrix
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    Solvency II
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    Identifiers

    Mathematics Subject Classification ID
    91G99
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    60G15
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    91G30
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    zbMATH DE Number
    6663346
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    OpenAlex ID
    W2963261820
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    arXiv ID
    1602.02011
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