A semi-Markov modulated interest rate model

DOI10.1016/j.spl.2013.05.024zbMath1283.91189arXiv1210.3164OpenAlexW2126398704MaRDI QIDQ2637384

Raimondo Manca, Giovanni Salvi, Guglielmo D'Amico

Publication date: 11 February 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.3164

zbMATH Keywords

interest ratehigher-order momentssemi-Markov process

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

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