Long time behaviour of stochastic interest rate models
AbstractIn 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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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 44 (2009)
Issue (Month): 3 (June)
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Web page: http://www.elsevier.com/locate/inca/505554
IM10 Long time behaviour Poisson random measure Jump Affine process Interest rate model Convergence Almost surely;
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- Griselda Deelstra & Freddy Delbaen, 1998. "Long-term returns in stochastic interest rate models: different convergence results," ULB Institutional Repository 2013/7582, ULB -- Universite Libre de Bruxelles.
- Novriana Sumarti & Iman Gunadi, 2013. "Reserve Requirement Analysis using a Dynamical System of a Bank based on Monti-Klein model of Bank's Profit Function," Papers 1306.0468, arXiv.org.
- Bao, Jianhai & Yuan, Chenggui, 2013. "Long-term behavior of stochastic interest rate models with jumps and memory," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 266-272.
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