A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK
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Publication:5714645
DOI10.1142/S0219024905003323zbMath1117.91366MaRDI QIDQ5714645
Publication date: 15 December 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Multivariate Jacobi process with application to smooth transitions, An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk, The term structure of interest rates under regime shifts and jumps, Reduced-form models with regime switching: An empirical analysis for corporate bonds, Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching, Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate, Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals, REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK
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