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Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/21927Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Brody, DC | - |
| dc.contributor.author | Hughston, LP | - |
| dc.contributor.author | Meier, DM | - |
| dc.date.accessioned | 2020-11-28T19:44:09Z | - |
| dc.date.available | 2018-05-01 | - |
| dc.date.available | 2020-11-28T19:44:09Z | - |
| dc.date.issued | 2018-05-28 | - |
| dc.identifier.citation | International Journal of Theoretical and Applied Finance, 2018, 21 (3), 1850026 (26 pp.). doi: 10.1142/S0219024918500267. | en_US |
| dc.identifier.issn | 0219-0249 | - |
| dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/21927 | - |
| dc.identifier.uri | https://arxiv.org/pdf/1608.06376v2.pdf | - |
| dc.description.sponsorship | Brunel Research Initiative and Enterprise Fund Award; National Science Foundation grant PHY-1066293; Russian Science Foundation (project 16-11-10218). | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | World Scientific Publishing | en_US |
| dc.subject | Vasicek model | en_US |
| dc.subject | Lévy models | en_US |
| dc.subject | interest-rate models | en_US |
| dc.subject | pricing kernels | en_US |
| dc.subject | long bond | en_US |
| dc.subject | long-term investment | en_US |
| dc.subject | long rate of interest | en_US |
| dc.subject | Ross recovery | en_US |
| dc.title | Lévy-Vasicek models and the long-bond return process | en_US |
| dc.type | Article | en_US |
| dc.identifier.doi | https://doi.org/10.1142/S0219024918500267 | - |
| dc.relation.isPartOf | International Journal of Theoretical and Applied Finance | - |
| pubs.issue | 3 | - |
| pubs.publication-status | Published | - |
| pubs.volume | 21 | - |
| 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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