Long-Term Returns in Stochastic Interest Rate Models: Applications
نویسندگان
چکیده
منابع مشابه
Long-term Returns in Stochastic Interest Rate Models: Applications
We extend the Cox-Ingersoll-Ross (1985) model of the short interest rate by assuming a stochastic reversion level, which better reflects the time dependence caused by the cyclical nature of the economy or by expectations concerning the future impact of monetary policies. In this framework, we have studied the convergence of the long-term return by using the theory of generalised Bessel-square p...
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Using an extension of the Cox-Ingersoll-Ross [1] stochastic model of the short interest rate r, we study the convergence in law of the longterm return in order to make some approximations. We use the theory of Bessel processes and observe the convergence in law of the sequence (√ −2β3 δn ∫ nt 0 (Xu + δu 2β )du ) t≥0 with the X a generalized Besselsquare process with drift with stochastic revers...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 2000
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.30.1.504629