Template-Type: ReDIF-Paper 1.0
Title: Asymptotic Maturity Behavior of the Term Structure
Author-Name: Klaas Schulze
Author-Email: klaas.schulze@uni-bonn.de
Classification-JEL: G10, G12, E43
Keywords: bond markets, yield curve, long forward rates, no arbitrage, asymptotic maturity
Abstract: Pricing 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.
Note: 
Length: 14
Creation-Date: 2008-06
Revision-Date: 
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonedp/bgse11_2008.pdf
File-Format: application/pdf
Handle: RePEc:bon:bonedp:bgse11_2008