Term structure extrapolation and asymptotic forward rates
Year of publication: |
March 2016
|
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Authors: | Kort, Jan de ; Vellekoop, Michel ; Sun, Zhongyang |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 67.2016, p. 107-119
|
Subject: | Term structure | Extrapolation | Asymptotic forward rates | Smith-Wilson algorithm | Exponential tension spline | Zinsstruktur | Yield curve | Schätztheorie | Estimation theory | Zinsderivat | Interest rate derivative |
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