Long-term risk with stochastic interest rates


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 ]


  1. Federico Severino (Universita della Svizzera Italiana)

Topic Areas

Arbitrage Theory , Interest Rates , Term-Structure Models


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

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