We propose a semi-Markov modulated interest rate model. We assume that the switching process is a semi-Markov process with finite state space and the modulated process is a diffusive process. Classical models such as those by Vasicek and CIR are generalized. © 2013.
A semi-Markov modulated interest rate model / Guglielmo, D'Amico; Manca, Raimondo; Giovanni, Salvi. - In: STATISTICS & PROBABILITY LETTERS. - ISSN 0167-7152. - STAMPA. - 83:9(2013), pp. 2094-2102. [10.1016/j.spl.2013.05.024]
A semi-Markov modulated interest rate model
MANCA, Raimondo;
2013
Abstract
We propose a semi-Markov modulated interest rate model. We assume that the switching process is a semi-Markov process with finite state space and the modulated process is a diffusive process. Classical models such as those by Vasicek and CIR are generalized. © 2013.File allegati a questo prodotto
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