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An Exact Solution of the Term Structure of Interest Rate Under Regime-Switching Risk

In: Hidden Markov Models in Finance

Author

Listed:
  • Shu Wu

    (the University of Kansas)

  • Yong Zeng

    (University of Missouri at Kansas City)

Abstract

Summary Regime-switching risk has been recently studied in an general equilibrium setting and empirically documented as an significant factor in bond premium. In this paper we apply no arbitrage approach to derive an exact solution of the term structure of interest rates in an essentially-affine-type model under regime-switching risk.

Suggested Citation

  • Shu Wu & Yong Zeng, 2007. "An Exact Solution of the Term Structure of Interest Rate Under Regime-Switching Risk," International Series in Operations Research & Management Science, in: Rogemar S. Mamon & Robert J. Elliott (ed.), Hidden Markov Models in Finance, chapter 1, pages 1-14, Springer.
    • Handle: RePEc:spr:isochp:978-0-387-71163-8_1
    DOI: 10.1007/0-387-71163-5_1
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    Cited by:

    1. Oscar Lopez & Gerardo E. Oleaga & Alejandra Sanchez, 2019. "Jump-telegraph models for the short rate: pricing and convexity adjustments of zero coupon bonds," Papers 1901.02995, arXiv.org.

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