Hunt, Julien; Devolder, Pierre - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 21, pp. 3767-3781
In this paper, we present a discrete time regime switching binomial-like model of the term structure where the regime switches are governed by a discrete time semi-Markov process. We model the evolution of the prices of zero-coupon when given an initial term structure as in the model by Ho and...