Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows

DOI10.1016/j.amc.2010.04.037zbMath1194.91088MaRDI QIDQ984362

Tak Kuen Siu

Publication date: 19 July 2010

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2010.04.037

zbMATH Keywords

stochastic flows; exponential affine form; bond valuation; fundamental matrix solutions; regime-switching jump-augmented Vasicek model

Mathematics Subject Classification ID

91G80: Financial applications of other theories

60J27: Continuous-time Markov processes on discrete state spaces

Related Items

An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk, Regime-switching pure jump processes and applications in the valuation of mortality-linked products, A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling, Basket CDS pricing with default intensities using a regime-switching shot-noise model, PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS, A Markov copula model with regime switching and its application, A reduced-form model for correlated defaults with regime-switching shot noise intensities, Option-based risk management of a bond portfolio under regime switching interest rates, Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching, Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities, Valuation of correlation options under a stochastic interest rate model with regime switching, Vasicek model with mixed-exponential jumps and its applications in finance and insurance, Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching, A new tree method for pricing financial derivatives in a regime-switching mean-reverting model, Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models, Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models, Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm, Analysis of stochastic Nicholson-type delay system under Markovian switching on patches, Regime-switching shot-noise processes and longevity bond pricing, A contagion model with Markov regime-switching intensities, A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes, Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates, Markov chain approximation and measure change for time-inhomogeneous stochastic processes, Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment, On the estimation of regime-switching Lévy models, A tree approach to options pricing under regime-switching jump diffusion models, A regime-switching model with jumps and its application to bond pricing and insurance, PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Exact solutions for bond and option prices with systematic jump risk
• The surprise element: Jumps in interest rates.
• A Theory of the Term Structure of Interest Rates
• On Markov‐modulated Exponential‐affine Bond Price Formulae
• Asset Prices With Regime-Switching Variance Gamma Dynamics
• [https://portal.mardi4nfdi.de/wiki/Publication:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions]
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An interest rate model with a Markovian mean reverting level
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• The Term Structure of Interest Rates in a Hidden Markov Setting
• Option pricing when underlying stock returns are discontinuous
• A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL
• Stochastic flows and the forward measure