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  • Search: subject:"Smith-Wilson algorithm"
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Asymptotic forward rates 1 Estimation theory 1 Exponential tension spline 1 Extrapolation 1 Interest rate derivative 1 Schätztheorie 1 Smith-Wilson algorithm 1 Term structure 1 Yield curve 1 Zinsderivat 1 Zinsstruktur 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Kort, Jan de 1 Sun, Zhongyang 1 Vellekoop, Michel 1
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Insurance / Mathematics & economics 1
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Term structure extrapolation and asymptotic forward rates
Kort, Jan de; Vellekoop, Michel; Sun, Zhongyang - In: Insurance / Mathematics & economics 67 (2016), pp. 107-119
Persistent link: https://www.econbiz.de/10011457171
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