An Exact Solution of the Term Structure of Interest Rate Under Regime-Switching Risk

DOI10.1007/0-387-71163-5_1zbMATH Open1311.91184OpenAlexW5227279MaRDI QIDQ5424399FDOQ5424399

Authors: Shu Wu, Yong Zeng 

Publication date: 5 November 2007

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/0-387-71163-5_1

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Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• Regime switching term structure model under partial information
• General equilibrium pricing with multiple dividend streams and regime switching
• A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model
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• Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation

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