| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10525846 | Statistics & Probability Letters | 2013 | 9 Pages |
Abstract
We propose a semi-Markov modulated interest rate model. We assume that the switching process is a semi-Markov process with finite state space and the modulated process is a diffusive process. Classical models such as those by Vasicek and CIR are generalized.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Guglielmo D'Amico, Raimondo Manca, Giovanni Salvi,