Long-term returns in stochastic interest rate models
type: Item
instance of: scholarly article
title: Long-term returns in stochastic interest rate models
zbMATH Open document ID: 0847.62082
DOI: 10.1016/0167-6687(95)00018-N
author: Griselda Deelstra
author: Freddy Delbaen
published in: Insurance Mathematics \& Economics
publication date: 1996-01-15T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60G35
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 834212
zbMATH Keywords: convergence of the long-term return
zbMATH Keywords: short interest rate
zbMATH Keywords: convergence almost everywhere
zbMATH Keywords: generalized Bessel-square process with drift
zbMATH Keywords: stochastic reversion level
MaRDI profile type: Publication
cites work: A theory of the term structure of interest rates
cites work: Pricing Interest-Rate-Derivative Securities
cites work: A decomposition of Bessel Bridges
cites work: Q3997782
Recommended article: Q4836332
Recommended article: Q3608295
Recommended article: Long-Term Returns in Stochastic Interest Rate Models: Applications
Recommended article: Long-term returns in stochastic interest rate models: different convergence results
Recommended article: Long time behaviour of stochastic interest rate models
Recommended article: Long-term returns in stochastic interest rate models: convergence in law
Recommended article: Long-term behavior of stochastic interest rate models with Markov switching
Recommended article: Long-term behavior of stochastic interest rate models with jumps and memory
Recommended article: Q5209439
description: scientific article; zbMATH DE number 834212