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Term structure modeling and asymptotic long rate

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  • Yao, Yong
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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 25 (1999)
    Issue (Month): 3 (December)
    Pages: 327-336

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    Handle: RePEc:eee:insuma:v:25:y:1999:i:3:p:327-336

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 11(3), pages 215-260, August.
    2. Ho, Thomas S Y & Lee, Sang-bin, 1986. " Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, American Finance Association, vol. 41(5), pages 1011-29, December.
    3. Black, Fischer, 1995. " Interest Rates as Options," Journal of Finance, American Finance Association, American Finance Association, vol. 50(5), pages 1371-76, December.
    4. Michael J. Brennan and Eduardo S. Schwartz., 1979. "A Continuous-Time Approach to the Pricing of Bonds," Research Program in Finance Working Papers, University of California at Berkeley 85, University of California at Berkeley.
    5. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, Econometric Society, vol. 53(2), pages 385-407, March.
    6. Robert Jarrow & Dilip Madan, 1995. "Option Pricing Using The Term Structure Of Interest Rates To Hedge Systematic Discontinuities In Asset Returns," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 5(4), pages 311-336.
    7. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, Elsevier, vol. 3(1-2), pages 145-166.
    8. Dybvig, Philip H & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1996. "Long Forward and Zero-Coupon Rates Can Never Fall," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 69(1), pages 1-25, January.
    9. Langetieg, Terence C, 1980. " A Multivariate Model of the Term Structure," Journal of Finance, American Finance Association, American Finance Association, vol. 35(1), pages 71-97, March.
    10. Back, Kerry & Pliska, Stanley R., 1991. "On the fundamental theorem of asset pricing with an infinite state space," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 20(1), pages 1-18.
    11. Vetzal, Kenneth R., 1994. "A survey of stochastic continuous time models of the term structure of interest rates," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 14(2), pages 139-161, May.
    12. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, Elsevier, vol. 5(2), pages 177-188, November.
    13. Darrell Duffie & Rui Kan, 1996. "A Yield-Factor Model Of Interest Rates," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 6(4), pages 379-406.
    14. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 12(04), pages 627-627, November.
    15. Constantinides, George M, 1992. "A Theory of the Nominal Term Structure of Interest Rates," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 5(4), pages 531-52.
    16. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, Econometric Society, vol. 60(1), pages 77-105, January.
    17. Brennan, Michael J. & Schwartz, Eduardo S., 1979. "A continuous time approach to the pricing of bonds," Journal of Banking & Finance, Elsevier, Elsevier, vol. 3(2), pages 133-155, July.
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    Cited by:
    1. Francesca Biagini & Alessandro Gnoatto & Maximilian H\"artel, 2013. "Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield," Papers, arXiv.org 1311.0688, arXiv.org.
    2. Klaas Schulze, 2008. "Asymptotic Maturity Behavior of the Term Structure," Bonn Econ Discussion Papers, University of Bonn, Germany bgse11_2008, University of Bonn, Germany.

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