Bond pricing when the short-term interest rate follows a threshold process

DOI10.1080/14697680701691451MaRDI QIDQ3605240zbMATH OpenOpenAlexFDO

Authors Wolfgang Lemke, Theofanis Archontakis

Publication date 23 February 2009

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://www.ssoar.info/ssoar/handle/document/22114

zbMATH Keywords

threshold modelsterm structure of interest ratesbond pricing

Mathematics Subject Classification ID

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Cites work

• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Flexible smoothing with B-splines and penalties. With comments and a rejoinder by the authors
• Nonlinear interest rate dynamics and implications for the terms structure
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
• The term structure of interest rates and regime shifts

Cited in

(2)

• Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations
• A model of the euro-area yield curve with discrete policy rates

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