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- W4297823218 abstract "In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest rate can have different economic or financial trends justify the interest of Regime Switching Quadratic Term Structure Model (RS-QTSM). Indeed, this regime switching process depends on the values of a Markov chain with a time dependent transition probability matrix which can well captures the different states (regimes) of the economy. We prove that under this modelling that the conditional zero coupon bond price admits also a quadratic term structure. Moreover, the stochastic coefficients which appear in this decomposition satisfy an explicit system of coupled stochastic backward recursions." @default.
- W4297823218 created "2022-10-01" @default.
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- W4297823218 date "2013-05-12" @default.
- W4297823218 modified "2023-10-18" @default.
- W4297823218 title "Markov switching quadratic term structure models" @default.
- W4297823218 hasPublicationYear "2013" @default.
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