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Long-term risk with stochastic interest rates - MaRDI portal

Long-term risk with stochastic interest rates

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Publication:6667573

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DOI10.1111/mafi.12440MaRDI QIDQ6667573

Federico Severino

Publication date: 20 January 2025

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

zbMATH Keywords

forward measure stochastic interest rates yields long-term risk pricing kernel decomposition rate adjustment

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

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