Term structure modeling and asymptotic long rate
This paper examines the dynamics of the asymptotic long rate in three classes of term structure models. It shows that, in a frictionless and arbitrage-free market, the asymptotic long rate is a non-decreasing process. This gives an alternative proof of the same result of \textit{P. H. Dybvig, J. E. Ingersol jun.} and \textit{S. A. Ross} [J. Business 69, 1-25 (1996)]. It proves that the asymptotic long rate in factor models with state variables having non-singular diffusion volatility matrices is a deterministic function of time \(t\). This paper also discusses a class of models in which bond prices have closed-form formulas and the asymptotic long rate is a constant.
- Term Structure Models: A Perspective from the Long Rate
- A note on the long rate in factor models of the term structure
- Generalization of the Dybvig-Ingersoll-Ross theorem and asymptotic minimality
- BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE
- The asymptotic behavior of the term structure of interest rates
- A survey of stochastic continuous time models of the term structure of interest rates
- A theory of the term structure of interest rates
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- An equilibrium characterization of the term structure
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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- Interest rate dynamics, derivatives pricing, and risk management
- Martingales and stochastic integrals in the theory of continuous trading
- On the fundamental theorem of asset pricing with an infinite state space
- OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
- Problems in certain two-factor term structure models
- Term Structure Models: A Perspective from the Long Rate
- The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
- Long-term factorization in Heath-Jarrow-Morton models
- Scenario generation for long run interest rate risk assessment
- Long-term factorization of affine pricing kernels
- Ramsey rule with forward/backward utility for long-term yield curves modeling
- Term structure extrapolation and asymptotic forward rates
- A joint stock and bond market based on the hyperbolic Gaussian model
- Ergodicity, State Prices, and Long Bond Returns
- The asymptotic behavior of the term structure of interest rates
- Social discounting and the long rate of interest
- A note on the long rate in factor models of the term structure
- Generalization of the Dybvig-Ingersoll-Ross theorem and asymptotic minimality
- ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM
- General analysis of long-term interest rates
- BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE
- Efficient Factor Models For Yield Curve Dynamics
- Term Structure Models: A Perspective from the Long Rate
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
- Long memory affine term structure models
- Long run forward rates and long yields of bonds and options in heterogeneous equilibria
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