Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/51230
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dc.contributor.authorElliott, R.-
dc.contributor.authorSiu, T.-
dc.date.issued2009-
dc.identifier.citationApplied Mathematical Finance, 2009; 16(1):1-15-
dc.identifier.issn1350-486X-
dc.identifier.issn1466-4313-
dc.identifier.urihttp://hdl.handle.net/2440/51230-
dc.description.abstractWe 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.-
dc.description.statementofresponsibilityRobert J. Elliott and Tak Kuen Siu-
dc.language.isoen-
dc.publisherRoutledge-
dc.source.urihttp://dx.doi.org/10.1080/13504860802015744-
dc.subjectExponential affine form-
dc.subjectbond valuation-
dc.subjectregime-switching forward measure-
dc.subjectfundamental matrix solution-
dc.titleOn Markov-modulated exponential-affine bond price formulae-
dc.typeJournal article-
dc.identifier.doi10.1080/13504860802015744-
pubs.publication-statusPublished-
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Mathematical Sciences publications

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