A note on the long rate in factor models of the term structure
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Publication:4642736
DOI10.1111/MAFI.12151zbMATH Open1390.91311OpenAlexW3121615158MaRDI QIDQ4642736FDOQ4642736
Authors: Jan de Kort 
Publication date: 25 May 2018
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12151
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- The asymptotic behavior of the term structure of interest rates
- Term Structure Models: A Perspective from the Long Rate
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- Long run forward rates and long yields of bonds and options in heterogeneous equilibria
- Long-term factorization in Heath-Jarrow-Morton models
- Long memory affine term structure models
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- Duration, factor sensitivities, and interest rate Greeks
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