Long-term returns in stochastic interest rate models

DOI10.1016/0167-6687(95)00018-NMaRDI QIDQ1904997zbMATH OpenFDO

Authors Griselda Deelstra, Freddy Delbaen

Publication date 15 January 1996

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6687(95)00018-N

zbMATH Keywords

convergence almost everywhereconvergence of the long-term returngeneralized Bessel-square process with driftshort interest ratestochastic reversion level

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Brownian motion (60J65) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A decomposition of Bessel Bridges
• A theory of the term structure of interest rates
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• Pricing interest-rate-derivative securities

Cited in

(24)

• Long time behaviour of stochastic interest rate models
• Consistent fitting of one-factor models to interest rate data.
• Ergodicity of scalar stochastic differential equations with Hölder continuous coefficients
• Horizon effect in the term structure of long-run risk-return trade-offs
• Stochastic pricing formulation for hybrid equity warrants
• Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching
• Long-term behavior of stochastic interest rate models with jumps and memory
• Long-term behavior of stochastic interest rate models with Markov switching
• scientific article; zbMATH DE number 5520769 (Why is no real title available?)
• Long-term returns in stochastic interest rate models: different convergence results
• Long-term returns in stochastic interest rate models: convergence in law
• Long-Term Returns in Stochastic Interest Rate Models: Applications
• A Stylized Model for Long-Run Index Return Dynamics
• Lévy-Vasicek models and the long-bond return process
• Bessel bridges decomposition with varying dimension: applications to finance
• scientific article; zbMATH DE number 764440 (Why is no real title available?)
• scientific article; zbMATH DE number 849175 (Why is no real title available?)
• Strong solutions of a class of stochastic differential equations with jumps
• Exponential ergodicity of CIR interest rate model with random switching
• Two methods of estimation of the drift parameters of the Cox–Ingersoll–Ross process: Continuous observations
• scientific article; zbMATH DE number 7155902 (Why is no real title available?)
• A Feynman-Kac type formula for a fixed delay CIR model
• Asymptotic behavior of improved trajectory fitting estimators for Cox-Ingersoll-Ross model
• Long-term behavior of non-ferrous metal price models with jumps

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