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The Term Structure of Interest Rates in a Hidden Markov Setting · Study

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ChapterThe Term Structure of Interest Rates in a Hidden Markov Setting

Robert James Elliott2007

Chapter2007

The Term Structure of Interest Rates in a Hidden Markov Setting

Robert James Elliott · Craig Wilson

32 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1990Pricing Interest-Rate-Derivative Securities 1999Mathematics of Financial Markets 1998The Central Tendency: A Second Factor in Bond Yields 1997The Cyclical Behavior of Interest Rates

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2012Longevity bond pricing under stochastic interest rate and mortality with regime-switching

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Year2007

Typechapter

Published2007-04-25

VenueSpringer eBooks

Languageen

Citations32

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/0-387-71163-5_2

openalex_workW64731065

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