Consols In the Cir Model

DOI10.1111/J.1467-9965.1993.TB00082.XzbMATH Open0884.90023OpenAlexW2145441354MaRDI QIDQ4372004FDOQ4372004

Freddy Delbaen

Publication date: 5 April 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00082.x

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zbMATH Keywords

valuationconsoldefault-free financial instrument

Mathematics Subject Classification ID

Cites Work

• A theory of the term structure of interest rates
• A decomposition of Bessel Bridges

Cited In (13)

• Supermodular ordering and stochastic annuities
• SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST
• A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL
• Some Properties of CIR Processes
• Black's consol rate conjecture
• Properties of the Cox–Ingersoll–Ross Interest Rate Processes with Two-sided Reflections
• Hysteresis effects under CIR interest rates
• Present value of some insurance portfolios
• Prepayment risk on callable bonds: theory and test
• 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.
• GENERAL ANALYSIS OF LONG-TERM INTEREST RATES

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