An interest rate model with a Markovian mean reverting level

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dc.contributor.authorElliott, R.
dc.contributor.authorMamon, R.
dc.date.issued2002
dc.description© 2002 IOP Publishing Ltd
dc.description.abstractA two-factor Vasicek model, where the mean reversion level changes according to a continuous time finite state Markov chain, is considered. This model could capture the behaviour of monetary authorities who normally set a reference rate which changes from time to time. We derive the term structure via the analytic expression of the bond price that involves a fundamental matrix. The validity of the bond price closed form solution is verified via the forward rate dynamics.
dc.description.statementofresponsibilityRobert J Elliott and Rogemar S Mamon
dc.identifier.citationQuantitative Finance, 2002; 2(6):454-458
dc.identifier.doi10.1080/14697688.2002.0000012
dc.identifier.issn1469-7688
dc.identifier.issn1469-7696
dc.identifier.urihttp://hdl.handle.net/2440/36652
dc.language.isoen
dc.publisherIOP Publishing Ltd.
dc.source.urihttp://dx.doi.org/10.1080/14697688.2002.0000012
dc.titleAn interest rate model with a Markovian mean reverting level
dc.typeJournal article
pubs.publication-statusPublished

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