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

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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zbMATH Keywords

factor modelterm structurelong rateDybvig-Ingersoll-Ross theorem

Mathematics Subject Classification ID

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

Cited In (5)

• Term Structure Models: A Perspective from the Long Rate
• Long run forward rates and long yields of bonds and options in heterogeneous equilibria
• Long memory affine term structure models
• Title not available (Why is that?)
• Duration, factor sensitivities, and interest rate Greeks

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