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Semi-Markov regime switching interest rate models and minimal entropy measure · Study

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ArticleSemi-Markov regime switching interest rate models and minimal entropy measure

Julien Hunt2011

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Articlegreen2011

Semi-Markov regime switching interest rate models and minimal entropy measure

Julien Hunt · Pierre Devolder

17 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1990Pricing Interest-Rate-Derivative Securities 1986Term Structure Movements and Pricing Interest Rate Contingent Claims 2005Option pricing and Esscher transform under regime switching 2004Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates 1990A Nonparametric Investigation of Duration Dependence in the American Business Cycle

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2018Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes

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Year2011

Typearticle

Published2011-06-26

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.physa.2011.04.036

openalex_workW2014361019

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