General analysis of long-term interest rates

DOI10.1142/S0219024920500028MaRDI QIDQ5221478zbMATH OpenOpenAlexWikidataFDO

Authors Francesca Biagini, Alessandro Gnoatto, Maximilian Härtel

Publication date 26 March 2020

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://www.fm.mathematik.uni-muenchen.de/download/publications/biagini_long_term_swap_rate.pdf

zbMATH Keywords

long-term simple ratelong-term swap ratelong-term yieldovernight indexed swapterm structure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A general HJM framework for multiple yield curve modelling
• A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL
• A new perspective on the fundamental theorem of asset pricing for large financial markets
• A note on the Flesaker-Hughston model of the term structure of interest rates
• Affine multiple yield curve models
• BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE
• Black's consol rate conjecture
• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS
• Consols In the Cir Model
• Generalization of the Dybvig-Ingersoll-Ross theorem and asymptotic minimality
• scientific article; zbMATH DE number 1454625 (Why is no real title available?)
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• ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM
• Social discounting and the long rate of interest
• Term Structure Models: A Perspective from the Long Rate
• The asymptotic behavior of the term structure of interest rates
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• Volatility of the short rate in the rational lognormal model

Cited in

(2)

• The asymptotic behavior of the term structure of interest rates
• Social discounting and the long rate of interest

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