Adelaide Research & Scholarship
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https://hdl.handle.net/2440/51230
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| Type: | Journal article |
| Title: | On Markov-modulated exponential-affine bond price formulae |
| Author: | Elliott, R. Siu, T. |
| Citation: | Applied Mathematical Finance, 2009; 16(1):1-15 |
| Publisher: | Routledge |
| Issue Date: | 2009 |
| ISSN: | 1350-486X 1466-4313 |
| Statement of Responsibility: | Robert J. Elliott and Tak Kuen Siu |
| Abstract: | 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. |
| Keywords: | Exponential affine form bond valuation regime-switching forward measure fundamental matrix solution |
| DOI: | 10.1080/13504860802015744 |
| Appears in Collections: | Aurora harvest 5 Mathematical Sciences publications |
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