The term structure of interest rates under regime shifts and jumps
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Publication:1929464
DOI10.1016/j.econlet.2006.05.006zbMath1254.91738OpenAlexW2064135781MaRDI QIDQ1929464
Publication date: 8 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2006.05.006
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Related Items (3)
Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment ⋮ Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation ⋮ REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK
Cites Work
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- Martingales and arbitrage in multiperiod securities markets
- The surprise element: Jumps in interest rates.
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK
- Bond pricing in a hidden Markov model of the short rate
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