Short rate analysis and marked point processes

DOI10.1007/S001860050041zbMATH Open0991.91032OpenAlexW2053348750MaRDI QIDQ1806288FDOQ1806288

Authors: Robert J. Elliott, Allanus H. Tsoi, Shiu Hong Lui 

Publication date: 1 November 1999

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860050041

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zbMATH Keywords

marked point processspot interest ratediscount bond pricepartial differential difference equation

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cited In (4)

• A pure-jump mean-reverting short rate model
• When is the short rate Markovian?
• A Markov regime-switching marked point process for short-rate analysis with credit risk
• Filtering of the Markov jump process given the observations of multivariate point process

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