Regime-switching affine term structures

DOI10.1080/14697688.2023.2288871arXiv2302.07721OpenAlexW4389981761MaRDI QIDQ6127415

Paul Krühner, Unnamed Author, Unnamed Author

Publication date: 12 April 2024

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2302.07721

zbMATH Keywords

term structure modelsregime-switchingHJMfinite-dimensional realizationsaffine term structures

Mathematics Subject Classification ID

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

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