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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 44 (2009)
Issue (Month): 3 (June)
Contact details of provider:
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;
Find related papers by JEL classification:
- IM1 - Health, Education, and Welfare - - - - -
- Lon - Industrial Organization - - - - -
- tim - - - - - -
- beh - - - - - -
- Poi - Economic Systems - - - - -
- ran - - - - - -
- mea - - - - - -
- Jum - Labor and Demographic Economics - - - - -
- Aff - General Economics and Teaching - - - - -
- pro - - - - - -
- Int - Health, Education, and Welfare - - - - -
- rat - - - - - -
- mod - - - - - -
- Con - Mathematical and Quantitative Methods - - - - -
- Alm - General Economics and Teaching - - - - -
- sur - - - - - -
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
- 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.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- Griselda Deelstra & Freddy Delbaen, 1995. "Long-term returns in stochastic interest rate models," ULB Institutional Repository 2013/7578, ULB -- Universite Libre de Bruxelles.
- Deelstra, G. & Delbaen, F., 1995. "Long-term returns in stochastic interest rate models," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 163-169, October.
- Griselda Deelstra, 2000. "Long-term returns in stochastic interest rate models: applications," ULB Institutional Repository 2013/7590, ULB -- Universite Libre de Bruxelles.
- Griselda Deelstra & Freddy Delbaen, 1995. "Long-term returns in stochastic interest rate models: convergence in law," ULB Institutional Repository 2013/7580, ULB -- Universite Libre de Bruxelles.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.