Long-term behavior of stochastic interest rate models with jumps and memory (Q2446007)
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scientific article; zbMATH DE number 6285083
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| English | Long-term behavior of stochastic interest rate models with jumps and memory |
scientific article; zbMATH DE number 6285083 |
Statements
Long-term behavior of stochastic interest rate models with jumps and memory (English)
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15 April 2014
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interest rate
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Cox-Ingersoll-Ross model
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jump
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memory
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one-factor model
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two-factor model
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long-term return
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0.93531936
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0.91591513
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0.8961018
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0.8956035
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0.8923343
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0.88781905
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