Term structure modeling and asymptotic long rate
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Recommendations
- Term Structure Models: A Perspective from the Long Rate
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- BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE
- The asymptotic behavior of the term structure of interest rates
Cites work
- scientific article; zbMATH DE number 45955 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- scientific article; zbMATH DE number 852306 (Why is no real title available?)
- scientific article; zbMATH DE number 273338 (Why is no real title available?)
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A survey of stochastic continuous time models of the term structure of interest rates
- 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
- Interest rate dynamics, derivatives pricing, and risk management
- Martingales and stochastic integrals in the theory of continuous trading
- OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
- On the fundamental theorem of asset pricing with an infinite state space
- Problems in certain two-factor term structure models
- Term Structure Models: A Perspective from the Long Rate
- The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
Cited in
(18)- Long-term factorization of affine pricing kernels
- ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM
- Term structure extrapolation and asymptotic forward rates
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
- Efficient Factor Models For Yield Curve Dynamics
- BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE
- The asymptotic behavior of the term structure of interest rates
- Term Structure Models: A Perspective from the Long Rate
- Long run forward rates and long yields of bonds and options in heterogeneous equilibria
- General analysis of long-term interest rates
- Ramsey rule with forward/backward utility for long-term yield curves modeling
- Long-term factorization in Heath-Jarrow-Morton models
- Social discounting and the long rate of interest
- Generalization of the Dybvig-Ingersoll-Ross theorem and asymptotic minimality
- Long memory affine term structure models
- A note on the long rate in factor models of the term structure
- A joint stock and bond market based on the hyperbolic Gaussian model
- Scenario generation for long run interest rate risk assessment
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