Long-term returns in stochastic interest rate models

DOI10.1016/0167-6687(95)00018-NzbMath0847.62082MaRDI QIDQ1904997

Griselda Deelstra, Freddy Delbaen

Publication date: 15 January 1996

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

zbMATH Keywords

convergence almost everywhereshort interest rateconvergence of the long-term returngeneralized Bessel-square process with driftstochastic reversion level

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites Work

• A Theory of the Term Structure of Interest Rates
• A decomposition of Bessel Bridges
• Pricing Interest-Rate-Derivative Securities
• Unnamed Item

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