Pricing of discount bonds with a Markov switching regime

DOI10.1007/S10436-013-0244-3MaRDI QIDQ481375zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Katsumasa Nishide

Publication date 12 December 2014

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL http://www.kier.kyoto-u.ac.jp/DP/DP859.pdf

zbMATH Keywords

term structureCIR modelstochastic flowbond pricingMarkov switching regime

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A simple regime switching term structure model
• An interest rate model with a Markovian mean reverting level
• Bond pricing in a hidden Markov model of the short rate
• On Markov‐modulated Exponential‐affine Bond Price Formulae
• Pricing interest-rate-derivative securities
• SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
• Stochastic flows and the forward measure
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(15)

• Bond pricing formulas for Markov-modulated affine term structure models
• Discount models
• A simple novel approach to valuing risky zero coupon bond in a Markov regime switching economy
• Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
• Saddlepoint approximations to option price in a regime-switching model
• Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility
• On Markov‐modulated Exponential‐affine Bond Price Formulae
• Wellposedness of viscosity solutions to weakly coupled HJB equations under Hölder \textit{continuous conditions}
• A Markov regime-switching marked point process for short-rate analysis with credit risk
• A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps
• scientific article; zbMATH DE number 2168902 (Why is no real title available?)
• Optimal investment in multidimensional Markov-modulated affine models
• HARA utility maximization in a Markov-switching bond-stock market
• The effects of different parameterizations of Markov-switching in a CIR model of bond pricing
• Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate

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