Matches in SemOpenAlex for { <https://semopenalex.org/work/W2297487609> ?p ?o ?g. }
Showing items 1 to 91 of
91
with 100 items per page.
- W2297487609 abstract "In this dissertation we investigate long-term interest rates, i.e. interest rates with maturitygoing to infinity, in the post-crisis interest rate market. Three different concepts of long-terminterest rates are considered for this purpose: the long-term yield, the long-term simple rate,and the long-term swap rate. We analyze the properties as well as the interrelations of theselong-term interest rates. In particular, we study the asymptotic behavior of the term structure ofinterest rates in some specific models. First, we compute the three long-term interest rates in theHJM framework with different stochastic drivers, namely Brownian motions, Levy processes,and affine processes on the state space of positive semidefinite symmetric matrices. The HJMsetting presents the advantage that the entire yield curve can be modeled directly. Furthermore,by considering increasingly more general classes of drivers, we were able to take into accountthe impact of different risk factors and their dependence structure on the long end of the yieldcurve. Finally, we study the long-term interest rates and especially the long-term swap rate inthe Flesaker-Hughston model and the linear-rational methodology." @default.
- W2297487609 created "2016-06-24" @default.
- W2297487609 creator A5007083686 @default.
- W2297487609 date "2015-12-23" @default.
- W2297487609 modified "2023-09-26" @default.
- W2297487609 title "The Asymptotic Behavior of the Term Structure of Interest Rates" @default.
- W2297487609 cites W1536245638 @default.
- W2297487609 cites W2083533647 @default.
- W2297487609 cites W2293692238 @default.
- W2297487609 hasPublicationYear "2015" @default.
- W2297487609 type Work @default.
- W2297487609 sameAs 2297487609 @default.
- W2297487609 citedByCount "2" @default.
- W2297487609 countsByYear W22974876092015 @default.
- W2297487609 crossrefType "book" @default.
- W2297487609 hasAuthorship W2297487609A5007083686 @default.
- W2297487609 hasConcept C10138342 @default.
- W2297487609 hasConcept C108018779 @default.
- W2297487609 hasConcept C121332964 @default.
- W2297487609 hasConcept C128029710 @default.
- W2297487609 hasConcept C128263813 @default.
- W2297487609 hasConcept C144237770 @default.
- W2297487609 hasConcept C149782125 @default.
- W2297487609 hasConcept C162324750 @default.
- W2297487609 hasConcept C175025494 @default.
- W2297487609 hasConcept C176230804 @default.
- W2297487609 hasConcept C187614132 @default.
- W2297487609 hasConcept C19736811 @default.
- W2297487609 hasConcept C201608381 @default.
- W2297487609 hasConcept C202444582 @default.
- W2297487609 hasConcept C28826006 @default.
- W2297487609 hasConcept C33923547 @default.
- W2297487609 hasConcept C40753778 @default.
- W2297487609 hasConcept C61797465 @default.
- W2297487609 hasConcept C62520636 @default.
- W2297487609 hasConcept C91602232 @default.
- W2297487609 hasConcept C92757383 @default.
- W2297487609 hasConcept C93246554 @default.
- W2297487609 hasConcept C99560960 @default.
- W2297487609 hasConcept C99821215 @default.
- W2297487609 hasConceptScore W2297487609C10138342 @default.
- W2297487609 hasConceptScore W2297487609C108018779 @default.
- W2297487609 hasConceptScore W2297487609C121332964 @default.
- W2297487609 hasConceptScore W2297487609C128029710 @default.
- W2297487609 hasConceptScore W2297487609C128263813 @default.
- W2297487609 hasConceptScore W2297487609C144237770 @default.
- W2297487609 hasConceptScore W2297487609C149782125 @default.
- W2297487609 hasConceptScore W2297487609C162324750 @default.
- W2297487609 hasConceptScore W2297487609C175025494 @default.
- W2297487609 hasConceptScore W2297487609C176230804 @default.
- W2297487609 hasConceptScore W2297487609C187614132 @default.
- W2297487609 hasConceptScore W2297487609C19736811 @default.
- W2297487609 hasConceptScore W2297487609C201608381 @default.
- W2297487609 hasConceptScore W2297487609C202444582 @default.
- W2297487609 hasConceptScore W2297487609C28826006 @default.
- W2297487609 hasConceptScore W2297487609C33923547 @default.
- W2297487609 hasConceptScore W2297487609C40753778 @default.
- W2297487609 hasConceptScore W2297487609C61797465 @default.
- W2297487609 hasConceptScore W2297487609C62520636 @default.
- W2297487609 hasConceptScore W2297487609C91602232 @default.
- W2297487609 hasConceptScore W2297487609C92757383 @default.
- W2297487609 hasConceptScore W2297487609C93246554 @default.
- W2297487609 hasConceptScore W2297487609C99560960 @default.
- W2297487609 hasConceptScore W2297487609C99821215 @default.
- W2297487609 hasLocation W22974876091 @default.
- W2297487609 hasOpenAccess W2297487609 @default.
- W2297487609 hasPrimaryLocation W22974876091 @default.
- W2297487609 hasRelatedWork W2121300558 @default.
- W2297487609 hasRelatedWork W2169707623 @default.
- W2297487609 hasRelatedWork W2170131042 @default.
- W2297487609 hasRelatedWork W2174834589 @default.
- W2297487609 hasRelatedWork W2270432526 @default.
- W2297487609 hasRelatedWork W2283598239 @default.
- W2297487609 hasRelatedWork W2297301290 @default.
- W2297487609 hasRelatedWork W274946233 @default.
- W2297487609 hasRelatedWork W2886346580 @default.
- W2297487609 hasRelatedWork W2951602857 @default.
- W2297487609 hasRelatedWork W3019357191 @default.
- W2297487609 hasRelatedWork W3121713455 @default.
- W2297487609 hasRelatedWork W3121766438 @default.
- W2297487609 hasRelatedWork W3123017398 @default.
- W2297487609 hasRelatedWork W3123213730 @default.
- W2297487609 hasRelatedWork W3124941153 @default.
- W2297487609 hasRelatedWork W3125467054 @default.
- W2297487609 hasRelatedWork W3148453993 @default.
- W2297487609 hasRelatedWork W3153724073 @default.
- W2297487609 hasRelatedWork W803162391 @default.
- W2297487609 isParatext "false" @default.
- W2297487609 isRetracted "false" @default.
- W2297487609 magId "2297487609" @default.
- W2297487609 workType "book" @default.