A semi-Markov modulated interest rate model
| Autor: | Guglielmo D'Amico, Giovanni Salvi, Raimondo Manca |
|---|---|
| Rok vydání: | 2013 |
| Předmět: |
Statistics and Probability
higher order moments semi-markov process interest rate media_common.quotation_subject Computational Finance (q-fin.CP) Space (mathematics) FOS: Economics and business Quantitative Finance - Computational Finance FOS: Mathematics Finite state Statistical physics media_common Mathematics Vasicek model Markov chain Probability (math.PR) Process (computing) Interest rate Short-rate model Pricing of Securities (q-fin.PR) Statistics Probability and Uncertainty Quantitative Finance - Pricing of Securities Mathematical economics Mathematics - Probability Rendleman–Bartter model |
| Zdroj: | Statistics & Probability Letters. 83:2094-2102 |
| ISSN: | 0167-7152 |
| DOI: | 10.1016/j.spl.2013.05.024 |
| Popis: | In this paper we propose a semi-Markov modulated model of interest rates. We assume that the switching process is a semi-Markov process with finite state space E and the modulated process is a diffusive process. We derive recursive equations for the higher order moments of the discount factor and we describe a Monte Carlo al- gorithm to execute simulations. The results are specialized to classical models as those by Vasicek, Hull and White and CIR with a semi-Markov modulation. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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