Stochastic flows and the forward measure
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- Hyndman, Cody Blaine, 2007. "Forward-backward SDEs and the CIR model," Statistics & Probability Letters, Elsevier, vol. 77(17), pages 1676-1682, November.
- Cody Hyndman & Xinghua Zhou, 2014. "Explicit solutions of quadratic FBSDEs arising from quadratic term structure models," Papers 1410.1220, arXiv.org, revised Dec 2014.
- Robert Elliott & Rogemar Mamon, 2002. "An interest rate model with a Markovian mean reverting level," Quantitative Finance, Taylor & Francis Journals, vol. 2(6), pages 454-458.
- Shen, Yang & Siu, Tak Kuen, 2012. "Asset allocation under stochastic interest rate with regime switching," Economic Modelling, Elsevier, vol. 29(4), pages 1126-1136.
- Robert Elliott & Katsumasa Nishide, 2014.
"Pricing of discount bonds with a Markov switching regime,"
Annals of Finance,
Springer, vol. 10(3), pages 509-522, August.
- Robert J. Elliott & Katsumasa Nishide, 2013. "Pricing of Discount Bonds with a Markov Switching Regime," KIER Working Papers 859, Kyoto University, Institute of Economic Research.
More about this item
KeywordsForward measure; exponential affine; bond pricing;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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