Thumbnail Image
Publication

A ffine Regime-Switching Models for Interest Rate Term Structure

Wu, Shu
; 
Zeng, Yong
Citations
Altmetric:
Abstract
To model the impact of the business cycle, this paper develops a tractable dynamic term structure model under diffusion and regime shifts with time varying transition probabilities. The model offers flexible parameterization of the market prices of risk, including the price of regime switching risk. Closed form solutions for the term structure of interest rate are obtained for both a ffine- and quadratic-type models using log-linear approximation.
Description
First published in Contemporary Mathematics in 351, published by the American Mathematical Society. This is the publisher's version, also available electronically from http://www.ams.org/mathscinet-getitem?mr=2076555.
Date
2004
Journal Title
Journal ISSN
Volume Title
Publisher
American Mathematical Society
Collections
Economics Scholarly Works
Show all metadata
Files
Thumbnail Image
Wu_Zeng_2003.pdf
Adobe PDF, 227.94 KB
Research Projects
Organizational Units
Journal Issue
Keywords
Term structure model, Regime switching, Diffusion, Marked point process
Citation
Shu Wu, Yong Zeng. 2004. "A ffine Regime-Switching Models for Interest Rate Term Structure." Contemporary Mathematics, 351:375–386. http://www.ams.org/mathscinet-getitem?mr=2076555
URI
https://hdl.handle.net/1808/13599
DOI
Embedded videos