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- W1899048250 abstract "We briefly recall some essential notions on interest rates and zero-coupon bonds. We then de ne a sound mathematical framework to study a model of the short rate in which the parameters are allowed to vary according to an underlying semi-Markov process. We give some properties of the short rate in our model. We follow by studying the notion of risk-neutral martingale measures in this context. Finally, we discuss the pricing of interest-rate derivatives. In particular, we show that the price of a zero-coupon bond has to satisfy a system of integro-differential equations that is influenced both by the market price of risk and by the market price of regime switch risk." @default.
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- W1899048250 date "2011-01-01" @default.
- W1899048250 modified "2023-09-27" @default.
- W1899048250 title "A semi-Markov regime switching extension of the Vasicek model" @default.
- W1899048250 hasPublicationYear "2011" @default.
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