An interest rate model with a Markovian mean reverting level

By Robert J. R. Elliott, Rogemar S. Mamon. 2002

51 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/130a7f74273f4b7695a6f4795089c5b9cd245250

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Tak Kuen Siu
2. Robert J. R. Elliott
3. M. Cole
4. Muhammad Shahbaz
5. David Nualart
6. Alessandro Ramponi

In Finance

1. Tak Kuen Siu
2. Robert J. R. Elliott
3. Guang-Hua Lian
4. Samuel N. Cohen
5. Christiane Lemieux
6. George Yin
7. Alessandro Ramponi
8. Leunglung Chan

Citations in the corpus

• On Markov‐modulated Exponential‐affine Bond Price Formulae (2009, background): “Some works on investigating continuous‐time regime‐switching short rate models and the associated bond valuation problems include Elliott and Mamon ( 2002 , 2003 ), Elliott and Wilson ( 2007 ), and others.”