Search Results - subject:"Long-term yield"

General analysis of long-term interest rates

Biagini, Francesca; Gnoatto, Alessandro; Härtel, Maximilian - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10012270881

The hunt for duration : not waving but drowning?

Domanski, Dietrich; Shin, Hyun Song; Sushko, Vladyslav - 2015

Persistent link: https://www.econbiz.de/10011435991

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

Fergusson, K. - In: Scandinavian actuarial journal 2019 (2019) 10, pp. 867-902

Persistent link: https://www.econbiz.de/10012195006

Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling

Karoui, Nicole El; Hillairet, Caroline; Mrad, Mohamed - HAL - 2014

The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature …

Persistent link: https://www.econbiz.de/10010821470

BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE

BIAGINI, FRANCESCA; HÄRTEL, MAXIMILIAN - In: International Journal of Theoretical and Applied … 17 (2014) 03, pp. 1450016-1

We study the behavior of the long-term yield in a HJM setting for forward rates driven by Lévy processes. The long … of the forward rate dynamics, and analyze the behavior of the long-term yield under certain conditions which encompass …

Persistent link: https://www.econbiz.de/10011011265

Behavior of long-term yields in a Lévy term structure

Biagini, Francesca; Härtel, Maximilian - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10010364765