Long time behaviour of stochastic interest rate models
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- Griselda Deelstra & Freddy Delbaen, 1998. "Long-term returns in stochastic interest rate models: different convergence results," ULB Institutional Repository 2013/7582, ULB -- Universite Libre de Bruxelles.
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Cited by:
- Hess, Markus, 2017. "Modeling positive electricity prices with arithmetic jump-diffusions," Energy Economics, Elsevier, vol. 67(C), pages 496-507.
- Novriana Sumarti & Iman Gunadi, 2013. "Reserve Requirement Analysis using a Dynamical System of a Bank based on Monti-Klein model of Bank's Profit Function," Papers 1306.0468, arXiv.org.
- Bao, Jianhai & Yuan, Chenggui, 2013. "Long-term behavior of stochastic interest rate models with jumps and memory," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 266-272.
- Jan de Kort, 2018. "A note on the long rate in factor models of the term structure," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 656-667, April.
- Zhang, Zhenzhong & Tong, Jinying & Hu, Liangjian, 2016. "Long-term behavior of stochastic interest rate models with Markov switching," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 320-326.
- Ji, Huijie & Xi, Fubao, 2022. "The tail behavior of jump-diffusion Cox–Ingersoll–Ross processes with regime-switching," Statistics & Probability Letters, Elsevier, vol. 181(C).
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Keywords
IM10 Long time behaviour Poisson random measure Jump Affine process Interest rate model Convergence Almost surely;JEL classification:
Statistics
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