REGIME SWITCHING TERM STRUCTURE MODEL UNDER PARTIAL INFORMATION

DOI10.1142/S0219024911006358zbMath1214.91119MaRDI QIDQ3005960

Hidenori Futami

Publication date: 10 June 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

business cyclepartial informationaffine term structure modelregime shiftzero interest rate

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items

An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk

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