Term structure extrapolation and asymptotic forward rates

DOI10.1016/J.INSMATHECO.2015.11.001zbMATH Open1348.91289OpenAlexW2188150167MaRDI QIDQ282277FDOQ282277

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

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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)

Cites Work

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

Cited In (11)

• Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model
• Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates
• Extrapolating Long-Run Yield Curves: An Innovative and Consistent Approach
• 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
• Issues with the Smith-Wilson method
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
• Forward transition rates
• Title not available (Why is that?)

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