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英文标题：
《Issues with the Smith-Wilson method》
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作者：
Andreas Lager{\\aa}s and Mathias Lindholm
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最新提交年份：
2016
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英文摘要：
The objective of the present paper is to analyse various features of the Smith-Wilson method used for discounting under the EU regulation Solvency II, with special attention to hedging. In particular, we show that all key rate duration hedges of liabilities beyond the Last Liquid Point will be peculiar. Moreover, we show that there is a connection between the occurrence of negative discount factors and singularities in the convergence criterion used to calibrate the model. The main tool used for analysing hedges is a novel stochastic representation of the Smith-Wilson method. Further, we provide necessary conditions needed in order to construct similar, but hedgeable, discount curves.
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中文摘要：
本文的目的是分析根据欧盟法规Solvency II用于贴现的Smith-Wilson方法的各种特征，特别注意套期保值。特别是，我们表明，超过最后一个流动点的债务的所有关键利率期限对冲都是特殊的。此外，我们还证明了负贴现因子的出现与用于校准模型的收敛准则中的奇异性之间存在联系。分析模糊限制语的主要工具是Smith-Wilson方法的一种新的随机表示。此外，我们还提供了构建类似但可对冲的贴现曲线所需的必要条件。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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