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dc.contributor.authorSchulze, Klaasen_US
dc.date.accessioned2008-12-10en_US
dc.date.accessioned2009-08-06T12:41:01Z-
dc.date.available2009-08-06T12:41:01Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/27171-
dc.description.abstractPricing and hedging of long-term interest rate sensitive products require to extrapolate the term structure beyond observable maturities. For the resulting limiting term structure we show two results by postulating no arbitrage in a bond market with infinitely increasing maturities: long zero-bond yields and long forward rates (i) are monotonically increasing and (ii) equal their minimal future value. Both results constrain the asymptotic maturity behavior of stochastic yield curves. They are fairly general and extend beyond semimartingale modeling. Hence our framework embeds arbitrage-free term structure models and imposes restrictions on their specification.en_US
dc.language.isoengen_US
dc.publisherGraduate School of Economics Bonnen_US
dc.relation.ispartofseriesBonn econ discussion papers 2008,11en_US
dc.subject.jelG10en_US
dc.subject.jelG12en_US
dc.subject.jelE43en_US
dc.subject.ddc330en_US
dc.subject.keywordbond marketsen_US
dc.subject.keywordyield curveen_US
dc.subject.keywordlong forward ratesen_US
dc.subject.keywordno arbitrageen_US
dc.subject.keywordasymptotic maturityen_US
dc.subject.stwRentenmarkten_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwLaufzeiten_US
dc.subject.stwZinstermingeschäften_US
dc.subject.stwKapitalmarkttheorieen_US
dc.subject.stwTheorieen_US
dc.titleAsymptotic maturity behavior of the term structureen_US
dc.typeWorking Paperen_US
dc.identifier.ppn587685530en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn

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