36 citations · 58 across the 6 of their papers we have counts for
8 papers
The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models
Likuan Qin, Vadim Linetsky
This paper proves existence of the long bond, long forward measure and long-term factorization of the stochastic discount factor (SDF) of Alvarez and Jermann (2005) and Hansen and…
Long-Term Factorization of Affine Pricing Kernels
Likuan Qin, Vadim Linetsky
This paper constructs and studies the long-term factorization of affine pricing kernels into discounting at the rate of return on the long bond and the martingale component that ac…
Long Forward Probabilities, Recovery and the Term Structure of Bond Risk Premiums
Likuan Qin, Vadim Linetsky, Yutian Nie
We show that the martingale component in the long-term factorization of the stochastic discount factor due to Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) is highly…
Long Term Risk: A Martingale Approach
Likuan Qin, Vadim Linetsky
This paper extends the long-term factorization of the stochastic discount factor introduced and studied by Alvarez and Jermann (2005) in discretetime ergodic environments and by Ha…
Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery and Long-Term Pricing
Likuan Qin, Vadim Linetsky
This paper develops a spectral theory of Markovian asset pricing models where the underlying economic uncertainty follows a continuous-time Markov process X with a general state sp…
Time-changed CIR default intensities with two-sided mean-reverting jumps
Rafael Mendoza-Arriaga, Vadim Linetsky
The present paper introduces a jump-diffusion extension of the classical diffusion default intensity model by means of subordination in the sense of Bochner. We start from the bi-v…