An interest rate model with Markov chain volatility level

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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Year of publication:	2010-06-19
Authors:	Radkov, Petar
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	interest rate model \| bond price close form solution \| Markov chain volatility level

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C68 - Computable General Equilibrium Models ; G00 - Financial Economics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011109746