Long time behaviour of stochastic interest rate models

DOI10.1016/J.INSMATHECO.2009.01.001zbMath1162.91391OpenAlexW1970865171MaRDI QIDQ1023108

Juan Zhao

Publication date: 10 June 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.01.001

zbMATH Keywords

convergenceinterest rate modellong time behaviourjumpPoisson random measureaffine processalmost surely

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (6)

Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching ⋮ VIX MODELING FOR A MARKET INSIDER ⋮ Long-term behavior of stochastic interest rate models with jumps and memory ⋮ Long-term behavior of non-ferrous metal price models with jumps ⋮ Long-term behavior of stochastic interest rate models with Markov switching ⋮ The tail behavior of jump-diffusion Cox-Ingersoll-Ross processes with regime-switching

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• A Theory of the Term Structure of Interest Rates
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• Long-Term Returns in Stochastic Interest Rate Models: Applications
• An equilibrium characterization of the term structure

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