Term structure extrapolation and asymptotic forward rates
From MaRDI portal
Publication:282277
DOI10.1016/j.insmatheco.2015.11.001zbMath1348.91289MaRDI 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
extrapolation; term structure; asymptotic forward rates; exponential tension spline; Smith-Wilson algorithm
65D07: Numerical computation using splines
91G60: Numerical methods (including Monte Carlo methods)
91G30: Interest rates, asset pricing, etc. (stochastic models)