Long-term risk with stochastic interest rates
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Publication:6667573
DOI10.1111/MAFI.12440MaRDI QIDQ6667573FDOQ6667573
Authors: Federico Severino 
Publication date: 20 January 2025
Published in: Mathematical Finance (Search for Journal in Brave)
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stochastic interest ratesforward measureyieldslong-term riskpricing kernel decompositionrate adjustment
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- Weak time-derivatives and no-arbitrage pricing
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