Long time behaviour of stochastic interest rate models

Juan Zhao

Insurance: Mathematics and Economics, 2009, vol. 44, issue 3, pages 459-463

Abstract: In this paper, we study the long time behaviour of two classes of stochastic interest rate models. Suppose that x(t) is a one-factor interest rate model with positive jumps. For a suitable constant we prove that converges almost surely as t-->[infinity]. A similar result is also proved for a two-factor affine model.

Keywords: IM10; Long; time; behaviour; Poisson; random; measure; Jump; Affine; process; Interest; rate; model; Convergence; Almost; surely (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:insuma:v:44:y:2009:i:3:p:459-463

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