Long-term risk with stochastic interest rates

Abstract

In continuous-time arbitrage-free markets we study the impact on pricing of the intertemporal aggregation of exposures to short-term rates variability across increasingly large investment horizons. When interest rates are... [ view full abstract ]

Authors

  1. Federico Severino (Università della Svizzera Italiana)

Topic Areas

Arbitrage Theory , Interest Rates , Term-Structure Models

Session

TU-P-EM » Interest Rate, Yield Curves, and Derivatives (14:30 - Tuesday, 17th July, Emmet)

Presentation Files

The presenter has not uploaded any presentation files.