Term Structure Models: A Perspective from the Long Rate

DOI10.1080/10920277.1999.10595839zbMath1082.91524OpenAlexW2293692238MaRDI QIDQ5718383

Yong Yao

Publication date: 13 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.1999.10595839

Mathematics Subject Classification ID

Related Items (7)

Term structure modeling and asymptotic long rate ⋮ BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE ⋮ Standard approaches to asset & liability risk** ⋮ Long-term yield in an affine HJM framework on \(S_{d}^{+}\) ⋮ DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE ⋮ GENERAL ANALYSIS OF LONG-TERM INTEREST RATES ⋮ Consistent fitting of one-factor models to interest rate data.

Cites Work

• The Pricing of Options and Corporate Liabilities
• Problems in certain two-factor term structure models
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A survey of stochastic continuous time models of the term structure of interest rates
• A Theory of the Term Structure of Interest Rates
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Interest Rate Risk Management
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