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A semi-Markov regime switching extension of the Vasicek model

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  • Hunt, Julien
  • Devolder, Pierre

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  • Hunt, Julien & Devolder, Pierre, 2011. "A semi-Markov regime switching extension of the Vasicek model," LIDAM Discussion Papers ISBA 2011009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2011009
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    References listed on IDEAS

    as
    1. Yongmiao Hong, 2005. "Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates," The Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 37-84.
    2. Jean-Luc Prigent, 2001. "Option Pricing with a General Marked Point Process," Mathematics of Operations Research, INFORMS, vol. 26(1), pages 50-66, February.
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