A note on the long rate in factor models of the term structure

DOI10.1111/MAFI.12151MaRDI QIDQ4642736zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Dybvig-Ingersoll-Ross theoremfactor modellong rateterm structure

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• Long run forward rates and long yields of bonds and options in heterogeneous equilibria

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