Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment (Q2663814)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment |
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Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment (English)
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20 April 2021
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Markov-modulated jump-diffusion model
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short rate model
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jump-telegraph process
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unbiased expectation hypothesis
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convexity adjustment
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bond valuation
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