LÉVY–VASICEK MODELS AND THE LONG-BOND RETURN PROCESS

DOI10.1142/S0219024918500267zbMath1398.91623arXiv1608.06376OpenAlexW3101034097MaRDI QIDQ4565077

David M. Meier, Dorje C. Brody, Lane P. Hughston

Publication date: 7 June 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.06376

zbMATH Keywords

Vasicek modelLévy modelslong-term investmentpricing kernelslong bondinterest-rate modelsRoss recoverylong rate of interest

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (2)

STATE SPACE DECOMPOSITION AND CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL ⋮ Lévy-Ito models in finance

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