SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST

DOI10.1111/mafi.12122zbMath1403.91355arXiv1306.5145OpenAlexW3124675990WikidataQ62272422 ScholiaQ62272422MaRDI QIDQ4635043

Dorje C. Brody, Lane P. Hughston

Publication date: 13 April 2018

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.5145

zbMATH Keywords

interest rate modelssocial discountingpricing kernellong rateDybvig-Ingersoll-Ross theoremdeclining discount ratehyperbolic discount function

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (4)

LÉVY–VASICEK MODELS AND THE LONG-BOND RETURN PROCESS ⋮ Theory of Cryptocurrency Interest Rates ⋮ Lévy-Ito models in finance ⋮ GENERAL ANALYSIS OF LONG-TERM INTEREST RATES

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