Interest rates risk-premium and shape of the yield curve

DOI10.3934/DCDSB.2016013MaRDI QIDQ316908zbMATH OpenOpenAlexFDO

Authors Srdjan D. Stojanovic

Publication date 30 September 2016

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdsb.2016013

zbMATH Keywords

yield curveoptimal pricingrisk premiumstochastic interest rate model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cited in

(2)

• The yield curve and financial risk premia. Implications for monetary policy.
• Interest rate risk premium and equity valuation

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