Work

Pricing regime-switching risk in an HJM interest rate environment

Year: 2016

Type: article

Source: Quantitative Finance

DOI: 10.1080/14697688.2015.1136078

Authors: Robert J. Elliott, Tak Kuen Siu

Institutions: University of Calgary, University of South Australia, The University of Adelaide, Macquarie University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Australian Research Council

OpenAlex ID: W2340533665

FWCI: 4.078

Cites: 53

Cited by: 16

Related to: 10