TY  - JOUR
AU  - López, Oscar
AU  - Oleaga Apadula, Gerardo Enrique
AU  - Sánchez, Alejandra
PY  - 2021
DO  - 10.1016/j.amc.2020.125854
UR  - https://hdl.handle.net/20.500.14352/116672
T2  - Applied Mathematics and Computation
AB  - In this article, we consider a Markov-modulated model with jumps for the short rate. Using the main properties of a telegraphic process with jumps we compute the expected short rate. We obtain closed formulas for the zero coupon bond price assuming...
LA  - eng
M2  - 125854
PB  - Elsevier
KW  - Markov-modulated jump-diffusion model
KW  - Short rate model
KW  - Jump-telegraph process
KW  - Unbiased expectation hypothesis
KW  - Convexity adjustment
KW  - Bond valuation
TI  - Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment
TY  - journal article
VL  - 395
ER  -