Theory of long-term interest rates
International Journal of Financial Engineering (IJFE), 2016, vol. 03, issue 03, 1-18
This paper develops a general framework for deriving an arbitrage-free interest rates term structure related to long maturities that are not observed (traded) in the market. The original contribution is that the obtained long-term curve depends on variables that can be observed in the market or can be derived from it, avoiding the necessity of establishing arbitrary assumptions related to the ultimate long-term rate and how the convergence takes place.
Keywords: Term structure of interest rates; Dybvig; Ingersoll and Ross theorem; long-term interest rates convergence; interest rate risk; assets and liabilities management (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijfexx:v:03:y:2016:i:03:n:s2424786316500134
Ordering information: This journal article can be ordered from
Access Statistics for this article
International Journal of Financial Engineering (IJFE) is currently edited by George Yuan
More articles in International Journal of Financial Engineering (IJFE) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().