A simple regime switching term structure model

DOI10.1007/PL00013523MaRDI QIDQ5926474zbMATH OpenOpenAlexFDO

Authors Asbjørn Hansen, Rolf Poulsen

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

zbMATH Keywords

numerical methodsoption pricingregime switchingterm structure of interest rates

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Extrapolation to the limit, deferred corrections (65B05) Monte Carlo methods (65C05)

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Cited in

(22)

• Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate
• On a general class of one-factor models for the term structure of interest rates
• The surprise element: Jumps in interest rates.
• A pure-jump mean-reverting short rate model
• A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes
• On the estimation of regime-switching Lévy models
• Regime switching term structure model under partial information
• SELF EXCITING THRESHOLD INTEREST RATES MODELS
• A stochastic monetary policy interest rate model
• Option-based risk management of a bond portfolio under regime switching interest rates
• The effects of different parameterizations of Markov-switching in a CIR model of bond pricing
• Regime-switching univariate diffusion models of the short-term interest rate
• An interest-rate model with regime-switching mean-reversion level
• A tractable market model with jumps for pricing short-term interest rate derivatives
• An interest rate model with a Markovian mean reverting level
• Stochastic volatility Gaussian Heath-Jarrow-Morton models
• Pricing of discount bonds with a Markov switching regime
• On a continuous time stock price model with regime switching, delay, and threshold
• A positive interest rate model with sticky barrier
• PARAMETER ESTIMATION FOR A REGIME-SWITCHING MEAN-REVERTING MODEL WITH JUMPS
• A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK
• Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions

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