Term Structure Models: A Perspective from the Long Rate

DOI10.1080/10920277.1999.10595839MaRDI QIDQ5718383zbMATH OpenOpenAlexFDO

Authors 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

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Cites work

• A survey of stochastic continuous time models of the term structure of interest rates
• A theory of the term structure of interest rates
• A YIELD‐FACTOR MODEL 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
• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 273338 (Why is no real title available?)
• Interest Rate Risk Management
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Pricing interest-rate-derivative securities
• Problems in certain two-factor term structure models
• The pricing of options and corporate liabilities
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE

Cited in

(19)

• Consistent fitting of one-factor models to interest rate data.
• Term structure modeling and asymptotic long rate
• A theory of the nominal term structure of interest rates.
• Domain restrictions on interest rates implied by no arbitrage
• Stationary and nonstationary behaviour of the term structure: a nonparametric characterization
• scientific article; zbMATH DE number 1222811 (Why is no real title available?)
• scientific article; zbMATH DE number 1264481 (Why is no real title available?)
• A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING
• Generalization of the Dybvig-Ingersoll-Ross theorem and asymptotic minimality
• A preferred-habitat model of the term structure of interest rates
• Rate-amplifying demand and the excess sensitivity of long-term rates
• General analysis of long-term interest rates
• Term structure models and the zero bound: an empirical investigation of Japanese yields
• Term Structure Models with Parallel and Proportional Shifts
• BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE
• Standard approaches to asset & liability risk**
• Efficient Factor Models For Yield Curve Dynamics
• Long-Term Yield Rates for Actuarial Valuations
• Long-term yield in an affine HJM framework on \(S_{d}^{+}\)

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