Open AccessBond pricing formulas for Markov-modulated affine term structure models
Author(s) -
Marianito R. Rodrigo,
Rogemar Mamon
Publication year - 2021
Publication title -
journal of industrial and management optimization
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2020089
Subject(s) - vasicek model , bond valuation , markov chain , affine term structure model , affine transformation , mathematics , zero coupon bond , short rate , term (time) , bond , context (archaeology) , exponential function , matrix exponential , computer science , statistical physics , yield curve , differential equation , pure mathematics , mathematical analysis , physics , economics , statistics , finance , paleontology , quantum mechanics , biology