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A time-varying Markov chain model of term structure

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  • Mamon, Rogemar S.

Abstract

This paper provides the term structure characterization of a Markov interest rate model when the Markov chain is time dependent.

Suggested Citation

  • Mamon, Rogemar S., 2002. "A time-varying Markov chain model of term structure," Statistics & Probability Letters, Elsevier, vol. 60(3), pages 309-312, December.
    • Handle: RePEc:eee:stapro:v:60:y:2002:i:3:p:309-312
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    References listed on IDEAS

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    1. Darrell Duffie & Rui Kan, 1996. "A Yield‐Factor Model Of Interest Rates," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 379-406, October.
    2. Joanne Kennedy & Phil Hunt & Antoon Pelsser, 2000. "Markov-functional interest rate models," Finance and Stochastics, Springer, vol. 4(4), pages 391-408.
    3. Gordon Pye, 1966. "A Markov Model of the Term Structure," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 80(1), pages 60-72.
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    Cited by:

    1. Gao, Huan & Mamon, Rogemar & Liu, Xiaoming & Tenyakov, Anton, 2015. "Mortality modelling with regime-switching for the valuation of a guaranteed annuity option," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 108-120.
    2. D’Amico, Guglielmo & Manca, Raimondo & Salvi, Giovanni, 2013. "A semi-Markov modulated interest rate model," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2094-2102.
    3. Guglielmo D'Amico & Raimondo Manca & Giovanni Salvi, 2012. "A Semi-Markov Modulated Interest Rate Model," Papers 1210.3164, arXiv.org.
    4. Zenghu Li & Chunhua Ma, 2008. "Catalytic Discrete State Branching Models and Related Limit Theorems," Journal of Theoretical Probability, Springer, vol. 21(4), pages 936-965, December.

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