英文标题：
《The Long-Term Swap Rate and a General Analysis of Long-Term Interest
Rates》
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作者：
Francesca Biagini, Alessandro Gnoatto, Maximilian H\\\"artel
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最新提交年份：
2019
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英文摘要：
We introduce here for the first time the long-term swap rate, characterised as the fair rate of an overnight indexed swap with infinitely many exchanges. Furthermore we analyse the relationship between the long-term swap rate, the long-term yield, see Biagini et al. [2018], Biagini and H\\\"artel [2014], and El Karoui et al. [1997], and the long-term simple rate, considered in Brody and Hughston [2016] as long-term discounting rate. We finally investigate the existence of these long-term rates in two term structure methodologies, the Flesaker-Hughston model and the linear-rational model. A numerical example illustrates how our results can be used to estimate the non-optional component of a CoCo bond.
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中文摘要：
我们在这里首次介绍了长期掉期利率，其特征是具有无限多个交易所的隔夜指数掉期的公平利率。此外，我们还分析了长期掉期利率与长期收益率之间的关系，见Biagini等人[2018]，Biagini和H\\“artel[2014]以及El Karoui等人[1997]，以及Brody和Hughston[2016]中考虑的长期简单利率作为长期贴现率。最后，我们用两种期限结构方法，即Flesaker-Hughston模型和线性理性模型，研究了这些长期利率的存在性。一个数值例子说明了我们的结果如何被用来估计可可键的非选择性成分。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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