Bond pricing when the short-term interest rate follows a threshold process

DOI10.1080/14697680701691451zbMath1154.91458OpenAlexW3126091833MaRDI QIDQ3605240

Theofanis Archontakis, Wolfgang Lemke

Publication date: 23 February 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22114

zbMATH Keywords

term structure of interest ratesthreshold modelsbond pricing

Mathematics Subject Classification ID

Related Items (2)

Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations ⋮ A model of the euro-area yield curve with discrete policy rates

Cites Work

• The term structure of interest rates and regime shifts
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Nonlinear interest rate dynamics and implications for the terms structure
• Flexible smoothing with \(B\)-splines and penalties. With comments and a rejoinder by the authors
• Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
• A Theory of the Term Structure of Interest Rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure

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