Regime switching term structure model under partial information
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Publication:3005960
DOI10.1142/S0219024911006358zbMATH Open1214.91119MaRDI QIDQ3005960FDOQ3005960
Authors: Hidenori Futami 
Publication date: 10 June 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Cites Work
- A theory of the term structure of interest rates
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- An equilibrium characterization of the term structure
- Title not available (Why is that?)
- Optimal trading strategy for an investor: the case of partial information
- Utility maximization with partial information
- Optimal portfolio choice for unobservable and regime-switching mean returns
- Credit risk: Modelling, valuation and hedging
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- Interest rate models -- theory and practice
- Bond pricing in a hidden Markov model of the short rate
- A simple regime switching term structure model
- FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
- A Note On Utility Maximization Under Partial Observations1
- Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate
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