Regime switching term structure model under partial information

DOI10.1142/S0219024911006358MaRDI QIDQ3005960zbMATH OpenFDO

Authors Hidenori Futami

Publication date 10 June 2011

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

business cyclepartial informationaffine term structure modelregime shiftzero interest rate

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• A Note On Utility Maximization Under Partial Observations¹
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A simple regime switching term structure model
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Bond pricing in a hidden Markov model of the short rate
• Credit risk: Modelling, valuation and hedging
• FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
• Interest rate models -- theory and practice
• Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate
• Optimal portfolio choice for unobservable and regime-switching mean returns
• Optimal trading strategy for an investor: the case of partial information
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Utility maximization with partial information

Cited in

(1)

• An econometric model of the term structure of interest rates under regime-switching risk

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