Long run forward rates and long yields of bonds and options in heterogeneous equilibria

DOI10.1007/s00780-007-0058-0zbMath1150.91021OpenAlexW1996899289MaRDI QIDQ928503

Semyon Malamud

Publication date: 18 June 2008

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/4715

zbMATH Keywords

heterogeneityoptionyield curveasset pricesforward rates

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Macroeconomic theory (monetary models, models of taxation) (91B64) Trade models (91B60)

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Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces, Nonmyopic optimal portfolios in viable markets, Universal bounds for asset prices in heterogeneous economies

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