Semi-Markov regime switching interest rate models under minimal entropy martingale measure
DOI10.3724/SP.J.1249.2016.02154zbMATH Open1363.91123OpenAlexW2343359214MaRDI QIDQ2824326FDOQ2824326
Authors: Xingrui Wang, Xiangdong Liu 
Publication date: 6 October 2016
Published in: Journal of Shenzhen University. Science \& Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3724/sp.j.1249.2016.02154
Recommendations
- Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling
- New measure selection for Hunt-Devolder semi-Markov regime switching interest rate models
- Long-term behavior of stochastic interest rate models with Markov switching
- A semi-Markov modulated interest rate model
- scientific article; zbMATH DE number 2133130
- Regime-switching univariate diffusion models of the short-term interest rate
- Markov-functional interest rate models
- A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK
minimal entropy martingale measurebond option pricingterm structure of interest ratebinary tree modelarbitrage free method
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cited In (4)
- A semi-Markov modulated interest rate model
- New measure selection for Hunt-Devolder semi-Markov regime switching interest rate models
- Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling
- A semi-martingale representation for a semi-Markov chain with application to finance
This page was built for publication: Semi-Markov regime switching interest rate models under minimal entropy martingale measure
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2824326)
