A simple regime switching term structure model
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Publication:5926474
DOI10.1007/PL00013523zbMath0963.60037MaRDI QIDQ5926474
Publication date: 1 March 2001
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/pl00013523
65C05: Monte Carlo methods
60G35: Signal detection and filtering (aspects of stochastic processes)
65B05: Extrapolation to the limit, deferred corrections
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