Pages that link to "Item:Q2663814"
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The following pages link to Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment (Q2663814):
Displaying 3 items.
- A simple novel approach to valuing risky zero coupon bond in a Markov regime switching economy (Q429973) (← links)
- Calculation of the convexity adjustment to the forward rate in the Vasicek model for the forward in-arrears contracts on LIBOR rate (Q5218388) (← links)
- On Markovian short rates in term structure models driven by jump-diffusion processes (Q5386288) (← links)