Long time behaviour of stochastic interest rate models

In this paper, we study the long time behaviour of two classes of stochastic interest rate models. Suppose that x(t) is a one-factor interest rate model with positive jumps. For a suitable constant we prove that converges almost surely as t-->[infinity]. A similar result is also proved for a two-factor affine model.

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Year of publication:	2009
Authors:	Zhao, Juan
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 44.2009, 3, p. 459-463
Publisher:	Elsevier
Keywords:	IM10 Long time behaviour Poisson random measure Jump Affine process Interest rate model Convergence Almost surely

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004973656