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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 | |
|---|---|---|---|---|
| Preprint.pdf | 237.56 kB | Adobe PDF | View/Open |
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