The Heath-Jarrow-Morton Model with Regime Shifts and Jumps Priced


The pricing of regime-switching risk in a Markovian, regime-switching, Heath-Jarrow-Morton environment in Elliott and Siu (2016) is re-visited. An ex-tended Heath-Jarrow-Morton model for stochastic forward rates... [ view full abstract ]


  1. Robert Elliott (University of Calgary/University of South Australia)
  2. Tak Kuen Siu (Macquarie University)

Topic Areas

Interest Rates , Term-Structure Models


TU-A-EM » HJM models and Variations (11:30 - Tuesday, 17th July, Emmet)

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