Finite‐dimensional Realizations of Regime‐switching HJM Models

DOI10.1080/13504860801987133zbMath1142.91520OpenAlexW2057800979MaRDI QIDQ3523659

Mikael Elhouar

Publication date: 5 September 2008

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860801987133

zbMATH Keywords

stochastic volatilitystate space modelsHJM modelsforward ratesMarkov chains in continuous time

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on discrete state spaces (60J27)

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