sampling frequencies. The two ingredients of our model are a Long Memory Stochastic Duration process for the waiting times tau …

annuity pension policies. The approximation methods include the stochastic duration approach, Edgeworth expansion, and …

yields short memory in counts, while any Long Memory Stochastic Duration model with $d>0$ and all finite moments yields long …

Generalizing Cox, Ingersoll, and Ross (1979), this paper defines the stochastic duration of a bond in a general multi … properties of the stochastic duration measure are derived analytically, and the stochastic duration is studied in detail in … of a European option on a zero-coupon bond with a time to maturity equal to the stochastic duration of the coupon bond …