Long-term risk with stochastic interest rates

DOI10.1111/MAFI.12440MaRDI QIDQ6667573zbMATH OpenFDO

Authors Federico Severino

Publication date 20 January 2025

Published in Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

zbMATH Keywords

stochastic interest ratesforward measureyieldslong-term riskpricing kernel decompositionrate adjustment

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3631722 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Business cycle dynamics under rational inattention
• Changes of numéraire, changes of probability measure and option pricing
• Conditional \(L_{p}\)-spaces and the duality of modules over \(f\)-algebras
• Dynamic valuation decomposition within stochastic economies
• Forecasting the term structure of government bond yields
• Interest rate models -- theory and practice. With smile, inflation and credit
• Long-Term Risk: A Martingale Approach
• Long-Term Risk: An Operator Approach
• Long-term factorization in Heath-Jarrow-Morton models
• Martingale methods in financial modelling.
• Nonparametric stochastic discount factor decomposition
• Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
• Probability with Martingales
• The pricing of options and corporate liabilities
• Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
• Weak time-derivatives and no-arbitrage pricing

Cited in

(1)

• The riskiness of stock versus money market investment with stochastic rates

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