Term structure extrapolation and asymptotic forward rates

DOI10.1016/J.INSMATHECO.2015.11.001MaRDI QIDQ282277zbMATHOpenAlexFDO

Authors J. de Kort, M. H. Vellekoop

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

term structureextrapolationasymptotic 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)

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Cites work

• A note on interest rate term structure estimation using tension splines
• An Interpolation Curve Using a Spline in Tension
• Discount curve construction with tension splines
• Interest rate models: an introduction
• Interpolation Methods for Curve Construction
• Pricing interest-rate-derivative securities
• Properties of splines in tension

Cited in

(11)

• Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates
• Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
• Issues with the Smith-Wilson method
• Extrapolating Long-Run Yield Curves: An Innovative and Consistent Approach
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model
• Forward transition rates
• Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
• Long run forward rates and long yields of bonds and options in heterogeneous equilibria
• Ramsey rule with forward/backward utility for long-term yield curves modeling
• scientific article; zbMATH DE number 1724292 (Why is no real title available?)

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