On Markov‐modulated Exponential‐affine Bond Price Formulae
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Cites work
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- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A theory of the term structure of interest rates
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- AMERICAN OPTIONS WITH REGIME SWITCHING
- An application of hidden Markov models to asset allocation problems
- An equilibrium characterization of the term structure
- DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS1
- FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
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- Martingale representation and hedging policies
- Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
- Mathematics of financial markets
- New finite-dimensional filters and smoothers for noisily observed Markov chains
- PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS
- Pricing interest-rate-derivative securities
- Robust parameter estimation for asset price models with Markov modulated volatilities
- Short rate nonlinearities and regime switches.
- Stochastic flows and the forward measure
- The Term Structure of Interest Rates in a Hidden Markov Setting
Cited in
(47)- Valuation of correlation options under a stochastic interest rate model with regime switching
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
- Markov-modulated affine processes
- Convertible bond valuation with regime switching
- Regime switching affine processes with applications to finance
- A closed-form pricing formula for variance swaps under MRG-Vasicek model
- Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
- Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
- Weak convergence of Markov-modulated diffusion processes with rapid switching
- Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment
- Bond pricing formulas for Markov-modulated affine term structure models
- Markov-modulated Ornstein-Uhlenbeck processes
- Pricing credit derivatives in a Markov-modulated reduced-form model
- Prepayment option of a perpetual corporate loan: the impact of the funding costs
- Pricing defaultable bonds in a Markov modulated market
- ON THE FOUR-PARAMETER BOND PRICING MODEL
- Markowitz's mean-variance asset-liability management with regime switching: a multi-period model
- A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework
- The valuation of a guaranteed minimum maturity benefit under a regime-switching framework
- Markovian forward-backward stochastic differential equations and stochastic flows
- Valuation of the prepayment option of a perpetual corporate loan
- An econometric model of the term structure of interest rates under regime-switching risk
- The LIBOR market model: a Markov-switching jump diffusion extension
- Valuing equity-linked death benefits in a regime-switching framework
- Pricing of discount bonds with a Markov switching regime
- Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
- Time-consistent mean-variance pairs-trading under regime-switching cointegration
- Explicit computations for some Markov modulated counting processes
- Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
- Pricing variance swaps under double Heston stochastic volatility model with stochastic interest rate
- DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS
- Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
- Pension funding problem with regime-switching geometric Brownian motion assets and liabilities
- Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
- scientific article; zbMATH DE number 6290829 (Why is no real title available?)
- Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets
- Bond pricing in a hidden Markov model of the short rate
- Pricing CDS index tranches under thinning-dependence structure with regime switching
- Analytically pricing european options under a two-factor stochastic interest rate model with a stochastic long-run equilibrium level
- Pricing variance swaps under stochastic volatility and stochastic interest rate
- Asymptotic expansion of the invariant measure for Markov-modulated ODEs at high frequency
- Semi-Markov-modulated exponential-affine bond prices
- On stability of the Markov-modulated skew CIR process
- Optimal investment in multidimensional Markov-modulated affine models
- Pricing a guaranteed annuity option under correlated and regime-switching risk factors
- Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
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