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Long-term returns in stochastic interest rate models: convergence in law

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  • Griselda Deelstra
  • Freddy Delbaen

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  • 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.
    • Handle: RePEc:ulb:ulbeco:2013/7580
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    References listed on IDEAS

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    1. Schaefer, Stephen M. & Schwartz, Eduardo S., 1984. "A Two-Factor Model of the Term Structure: An Approximate Analytical Solution," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(4), pages 413-424, December.
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    Cited by:

    1. Zhao, Juan, 2009. "Long time behaviour of stochastic interest rate models," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 459-463, June.
    2. Gabriel Faraud & Stéphane Goutte, 2014. "Bessel Bridges Decomposition with Varying Dimension: Applications to Finance," Journal of Theoretical Probability, Springer, vol. 27(4), pages 1375-1403, December.
    3. Griselda Deelstra, 2000. "Long-term returns in stochastic interest rate models: applications," ULB Institutional Repository 2013/7590, ULB -- Universite Libre de Bruxelles.
    4. Duc, Luu Hoang & Tran, Tat Dat & Jost, Jürgen, 2018. "Ergodicity of scalar stochastic differential equations with Hölder continuous coefficients," Stochastic Processes and their Applications, Elsevier, vol. 128(10), pages 3253-3272.
    5. Jan de Kort, 2018. "A note on the long rate in factor models of the term structure," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 656-667, April.
    6. Gabriel Faraud & Stéphane Goutte, 2012. "Bessel bridges decomposition with varying dimension. Applications to finance," Working Papers hal-00694126, HAL.
    7. Rogers, L. C. G. & Stummer, Wolfgang, 2000. "Consistent fitting of one-factor models to interest rate data," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 45-63, August.
    8. Zhang, Zhenzhong & Tong, Jinying & Hu, Liangjian, 2016. "Long-term behavior of stochastic interest rate models with Markov switching," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 320-326.
    9. Federico Flore & Giovanna Nappo, 2018. "A Feynman-Kac type formula for a fixed delay CIR model," Papers 1806.00997, arXiv.org.

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