Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure

DOI10.1080/03461238.2019.1627574zbMath1426.91216OpenAlexW2949556541WikidataQ127772338 ScholiaQ127772338MaRDI QIDQ5242234

Kevin Fergusson

Publication date: 6 November 2019

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/225115

zbMATH Keywords

Cox-Ingersoll-Ross modelactuarial valuationlong-term yieldstochastic short rate

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Related Items

Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure

Cites Work

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• A general version of the fundamental theorem of asset pricing
• A benchmark approach to quantitative finance
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• Long-Term Returns in Stochastic Interest Rate Models: Applications
• Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure
• Long-Term Yield Rates for Actuarial Valuations