This paper considers the American option pricing problem under regime-switching by using the method-of-lines (MOL) scheme. American option prices in each regime involve prices in all other regimes. We treat the prices from other regimes implicitly, thus guaranteeing consistency. Iterative...

This paper examines the pricing of interest rate derivatives when the interest rate dynamics experience infrequent jump shocks modelled as a Poisson process and within the Markovian HJM framework developed in Chiarella amp; Nikitopoulos (2003). Closed form solutions for the price of a bond...

The defaultable forward rate is modeled as a jump diffusion process within the Schonbucher (2000, 2003) general Heath, Jarrow and Morton (1992) framework where jumps in the defaultable term structure cause jumps and defaults to the defaultable bond prices. Within this framework, we investigate...

The defaultable forward rate is modeled as a jump diffusion process within the Schonbucher (2000, 2003) general Heath, jarrow and Morton (1992) framework where jumps in the defaultable term structure f^d(t, T) cause jumps and defaults to the defaultable bond prices P^d(t, T). Within this...