Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure
K. Fergusson
Year of publication: |
2019
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Authors: | Fergusson, K. |
Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2019.2019, 10, p. 867-902
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Subject: | Actuarial valuation | Cox-Ingersoll-Ross model | long-term yield | stochastic short rate | Theorie | Theory | Zinsstruktur | Yield curve | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Anleihe | Bond |
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