Term structure modeling and asymptotic long rate
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Publication:1974033
DOI10.1016/S0167-6687(99)00025-6zbMath0943.91040OpenAlexW2083533647WikidataQ127646893 ScholiaQ127646893MaRDI QIDQ1974033
Publication date: 8 May 2000
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00025-6
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Cites Work
- Problems in certain two-factor term structure models
- Martingales and stochastic integrals in the theory of continuous trading
- A survey of stochastic continuous time models of the term structure of interest rates
- Interest rate dynamics, derivatives pricing, and risk management
- On the fundamental theorem of asset pricing with an infinite state space
- A Theory of the Term Structure of Interest Rates
- OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
- An equilibrium characterization of the term structure
- Term Structure Models: A Perspective from the Long Rate
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