In this dissertation we investigate long-term interest rates, i.e. interest rates with maturity
going to infinity, in the post-crisis interest rate market. Three different concepts of long-term
interest rates are considered for this purpose: the long-term yield, the long-term simple rate,
and the long-term swap rate. We analyze the properties as well as the interrelations of these
long-term interest rates. In particular, we study the asymptotic behavior of the term structure of
interest rates in some specific models. First, we compute the three long-term interest rates in the
HJM framework with different stochastic drivers, namely Brownian motions, Lévy processes,
and affine processes on the state space of positive semidefinite symmetric matrices. The HJM
setting presents the advantage that the entire yield curve can be modeled directly. Furthermore,
by considering increasingly more general classes of drivers, we were able to take into account
the impact of different risk factors and their dependence structure on the long end of the yield
curve. Finally, we study the long-term interest rates and especially the long-term swap rate in
the Flesaker-Hughston model and the linear-rational methodology
