A ffine Regime-Switching Models for Interest Rate Term Structure
View/
Issue Date
2004Article 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
Items in KU ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
