The Term Structure of Interest Rates in a Hidden Markov Setting

DOI10.1007/0-387-71163-5_2MaRDI QIDQ5424400zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Craig Wilson

Publication date 5 November 2007

Published in International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/0-387-71163-5_2

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL
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• Stabilization of hybrid systems by event-triggered control based on discrete-time state observations
• An interest-rate model with regime-switching mean-reversion level

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