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An interest rate model with Markov chain volatility level

Radkov, Petar (2010): An interest rate model with Markov chain volatility level.

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Abstract

We consider a two factor interest rate model, where the volatility level follows continuous time finite state Markov chain. We derive the close form solution of bond price that involves fundamental matrix.

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  • An interest rate model with Markov chain volatility level. (deposited 28 Nov 2014 06:31) [Currently Displayed]
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