The term structure of interest rates under regime shifts and jumps (Q1929464): Difference between revisions

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+The surprise element: Jumps in interest rates.
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+Normal rank
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+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
+Normal rank
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Martingales and arbitrage in multiperiod securities markets
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+Bond pricing in a hidden Markov model of the short rate
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+Q4850018
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+Normal rank
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+A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK
+Normal rank