Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment (Q2663814)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment |
scientific article |
Statements
Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment (English)
0 references
20 April 2021
0 references
Markov-modulated jump-diffusion model
0 references
short rate model
0 references
jump-telegraph process
0 references
unbiased expectation hypothesis
0 references
convexity adjustment
0 references
bond valuation
0 references
0 references
0 references
0 references