The term structure of interest rates under regime shifts and jumps

DOI10.1016/j.econlet.2006.05.006zbMath1254.91738OpenAlexW2064135781MaRDI QIDQ1929464

Yong Zeng, Shu Wu

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

zbMATH Keywords

regime switchingmarked point processterm structurejump diffusion

Mathematics Subject Classification ID

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

• Unnamed Item
• 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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