Bond pricing formulas for Markov-modulated affine term structure models

DOI10.3934/JIMO.2020089zbMath1476.91201OpenAlexW3023214860MaRDI QIDQ2666684

Rogemar S. Mamon, Marianito R. Rodrigo

Publication date: 23 November 2021

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2020089

zbMATH Keywords

Markov chainaffine processesterm structure modelingbond valuationregime-switching approach

Mathematics Subject Classification ID

Heat equation (35K05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Transform methods (e.g., integral transforms) applied to PDEs (35A22) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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