Consols In the Cir Model
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Publication:4372004
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(13)- Supermodular ordering and stochastic annuities
- A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL
- Black's consol rate conjecture
- Some Properties of CIR Processes
- General analysis of long-term interest rates
- Social discounting and the long rate of interest
- Hysteresis effects under CIR interest rates
- Prepayment risk on callable bonds: theory and test
- Present value of some insurance portfolios
- Properties of the Cox-Ingersoll-Ross interest rate processes with two-sided reflections
- Continuous-time perpetuities and time reversal of diffusions
- Optimal stopping in infinite horizon: an eigenfunction expansion approach
- Consistent fitting of one-factor models to interest rate data.
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