Consols In the Cir Model

DOI10.1111/J.1467-9965.1993.TB00082.XMaRDI QIDQ4372004zbMATH OpenOpenAlexFDO

Authors Freddy Delbaen

Publication date 5 April 1998

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1993.tb00082.x

zbMATH Keywords

consoldefault-free financial instrumentvaluation

Mathematics Subject Classification ID

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Cites work

• A decomposition of Bessel Bridges
• A theory of the term structure of interest rates

Cited in

(16)

• Supermodular ordering and stochastic annuities
• Consistent fitting of one-factor models to interest rate data.
• Black's consol rate conjecture
• Optimal stopping in infinite horizon: an eigenfunction expansion approach
• Hysteresis effects under CIR interest rates
• Present value of some insurance portfolios
• A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL
• Social discounting and the long rate of interest
• Continuous-time perpetuities and time reversal of diffusions
• General analysis of long-term interest rates
• Properties of the Cox-Ingersoll-Ross interest rate processes with two-sided reflections
• Some Properties of CIR Processes
• Equilibrium asset pricing with short rate risk
• Asymptotic behavior of improved trajectory fitting estimators for Cox-Ingersoll-Ross model
• An improved trajectory fitting estimator for reflected Cox-Ingersoll-Ross interest rate processes with two-sided barriers
• Prepayment risk on callable bonds: theory and test

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