A semi-Markov modulated interest rate model

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.

MoreLess

Year of publication:	2013
Authors:	D’Amico, Guglielmo ; Manca, Raimondo ; Salvi, Giovanni
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 9, p. 2094-2102
Publisher:	Elsevier
Subject:	Semi-Markov process \| Interest rate \| Higher order moments

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010678745