Pages that link to "Item:Q5926472"
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The following pages link to Bond pricing in a hidden Markov model of the short rate (Q5926472):
Displaying 28 items.
- Option-based risk management of a bond portfolio under regime switching interest rates (Q354661) (← links)
- Pricing of discount bonds with a Markov switching regime (Q481375) (← links)
- Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions (Q903027) (← links)
- Reduced-form models with regime switching: An empirical analysis for corporate bonds (Q928173) (← links)
- Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate (Q1044238) (← links)
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering (Q1761434) (← links)
- A new tree method for pricing financial derivatives in a regime-switching mean-reverting model (Q1926230) (← links)
- The term structure of interest rates under regime shifts and jumps (Q1929464) (← links)
- Option pricing in regime-switching frameworks with the extended Girsanov principle (Q2038228) (← links)
- Bond prices under information asymmetry and a short rate with instantaneous feedback (Q2152233) (← links)
- Yield curve shapes of Vašíček interest rate models, measure transformations and an application for the simulation of pension products (Q2209788) (← links)
- Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation (Q2304045) (← links)
- Regime switching affine processes with applications to finance (Q2308173) (← links)
- A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes (Q2315924) (← links)
- Convergence rates of trinomial tree methods for option pricing under regime-switching models (Q2343665) (← links)
- Laplace transform methods for a free boundary problem of time-fractional partial differential equation system (Q2403902) (← links)
- A lattice method for option pricing with two underlying assets in the regime-switching model (Q2448349) (← links)
- A benchmark approach to portfolio optimization under partial information (Q2471734) (← links)
- A filtered no arbitrage model for term structures from noisy data (Q2485832) (← links)
- A benchmark approach to filtering in finance (Q2575441) (← links)
- Bond pricing formulas for Markov-modulated affine term structure models (Q2666684) (← links)
- REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK (Q2853377) (← links)
- REGIME SWITCHING TERM STRUCTURE MODEL UNDER PARTIAL INFORMATION (Q3005960) (← links)
- A FILTERING APPROACH TO PRICING IN MULTIFACTOR TERM STRUCTURE MODELS (Q3523574) (← links)
- An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk (Q4562475) (← links)
- Forward-backward SDEs with discontinuous coefficients (Q4639169) (← links)
- Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates (Q4641555) (← links)
- Stochastic volatility Gaussian Heath-Jarrow-Morton models (Q4672758) (← links)
