Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/27171 
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dc.contributor.authorSchulze, Klaasen
dc.date.accessioned2008-12-10-
dc.date.accessioned2009-08-06T12:41:01Z-
dc.date.available2009-08-06T12:41:01Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aUniversity of Bonn, Bonn Graduate School of Economics (BGSE) |cBonnen
dc.relation.ispartofseries|aBonn Econ Discussion Papers |x11/2008en
dc.subject.jelG10en
dc.subject.jelG12en
dc.subject.jelE43en
dc.subject.ddc330en
dc.subject.keywordbond marketsen
dc.subject.keywordyield curveen
dc.subject.keywordlong forward ratesen
dc.subject.keywordno arbitrageen
dc.subject.keywordasymptotic maturityen
dc.subject.stwRentenmarkten
dc.subject.stwZinsstrukturen
dc.subject.stwLaufzeiten
dc.subject.stwZinstermingeschäften
dc.subject.stwKapitalmarkttheorieen
dc.subject.stwTheorieen
dc.titleAsymptotic Maturity Behavior of the Term Structure-
dc.type|aWorking Paperen
dc.identifier.ppn587685530en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bonedp:112008-

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