Article2016

Pricing regime-switching risk in an HJM interest rate environment

16 citations0/0 files storedQuantitative Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Risk Management in Financial Firms

Abstract

Modelling the term structure of interest rates is a long-standing topic in financial economics. In the past several decades or so, many stochastic interest rate models have been proposed with a vie...

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 16 citations exist upstream.

References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*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 1979Martingales and arbitrage in multiperiod securities markets 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1981Martingales and stochastic integrals in the theory of continuous trading 1996A YIELD‐FACTOR MODEL OF INTEREST RATES

Cited by

2019Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.