{"title":"时序切换仿射项结构","authors":"Andreas Celary, Zehra Eksi-Altay, Paul Krühner","doi":"10.1080/14697688.2023.2288871","DOIUrl":null,"url":null,"abstract":"We consider an HJM model setting for Markov-chain modulated forward rates. The underlying Markov chain is assumed to induce regime switches on the forward curve dynamics. Our primary focus is on th...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"1 1","pages":""},"PeriodicalIF":1.5000,"publicationDate":"2023-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Regime-switching affine term structures\",\"authors\":\"Andreas Celary, Zehra Eksi-Altay, Paul Krühner\",\"doi\":\"10.1080/14697688.2023.2288871\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We consider an HJM model setting for Markov-chain modulated forward rates. The underlying Markov chain is assumed to induce regime switches on the forward curve dynamics. Our primary focus is on th...\",\"PeriodicalId\":20747,\"journal\":{\"name\":\"Quantitative Finance\",\"volume\":\"1 1\",\"pages\":\"\"},\"PeriodicalIF\":1.5000,\"publicationDate\":\"2023-12-19\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quantitative Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1080/14697688.2023.2288871\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/14697688.2023.2288871","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
We consider an HJM model setting for Markov-chain modulated forward rates. The underlying Markov chain is assumed to induce regime switches on the forward curve dynamics. Our primary focus is on th...
期刊介绍：
The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.
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