On Markov-modulated exponential-affine bond price formulae | Macquarie University ResearchOnline

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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/138693

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Title: On Markov-modulated exponential-affine bond price formulae
Related: Applied mathematical finance, Vol. 16, Issue 1, (2009), p.1-15
DOI: 10.1080/13504860802015744
Publisher: Routledge
Date: 2009
FoR/RFCD Code(s): 010200 Applied Mathematics
Author/Creator: Elliott, Robert J
Author/Creator: Siu, Tak Kuen
Description: We consider the bond valuation problem when the short rate process is described by a Markovian regime-switching Hull–White model or a Markovian regime-switching Cox– Ingersoll–Ross model. In each of the two short rate models, we establish a Markov-modulated exponential-affine bond price formula with coefficients given in terms of fundamental matrix solutions of linear matrix differential equations.
Description: 15 page(s)
Subject Keyword: 010200 Applied Mathematics
Subject Keyword: exponential affine form
Subject Keyword: bond valuation
Subject Keyword: regime-switching forward measure
Subject Keyword: fundamental matrix solution
Resource Type: journal article
Organisation: Macquarie University. Dept. of Actuarial Studies

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