Short rate analysis and marked point processes

DOI10.1007/S001860050041MaRDI QIDQ1806288zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Allanus H. Tsoi, Shiu Hong Lui

Publication date 1 November 1999

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001860050041

zbMATH Keywords

marked point processspot interest ratediscount bond pricepartial differential difference equation

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cited in

(4)

• A pure-jump mean-reverting short rate model
• When is the short rate Markovian?
• A Markov regime-switching marked point process for short-rate analysis with credit risk
• Filtering of the Markov jump process given the observations of multivariate point process

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