A ffine Regime-Switching Models for Interest Rate Term Structure

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Issue Date
2004Author
Wu, Shu
Zeng, Yong
Publisher
American Mathematical Society
Type
Article
Article Version
Scholarly/refereed, publisher version
Published Version
http://www.ams.org/mathscinet-getitem?mr=2076555Metadata
Show full item recordAbstract
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.
ISSN
2167-5163Collections
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
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