Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/21927
Title: | Lévy-Vasicek models and the long-bond return process |
Authors: | Brody, DC Hughston, LP Meier, DM |
Keywords: | Vasicek model;Lévy models;interest-rate models;pricing kernels;long bond;long-term investment;long rate of interest;Ross recovery |
Issue Date: | 28-May-2018 |
Publisher: | World Scientific Publishing |
Citation: | International Journal of Theoretical and Applied Finance, 2018, 21 (3), 1850026 (26 pp.). doi: 10.1142/S0219024918500267. |
URI: | https://bura.brunel.ac.uk/handle/2438/21927 https://arxiv.org/pdf/1608.06376v2.pdf |
DOI: | https://doi.org/10.1142/S0219024918500267 |
ISSN: | 0219-0249 |
Appears in Collections: | Dept of Mathematics Research Papers |
Files in This Item:
File | Description | Size | Format | |
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Preprint.pdf | 237.56 kB | Adobe PDF | View/Open |
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