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A Semi-Markov Modulated Interest Rate Model

In this paper we propose a semi-Markov modulated model of interest rates. We assume that the switching process is a semi-Markov process with finite state space E and the modulated process is a diffusive process. We derive recursive equations for the higher order moments of the discount factor and we describe a Monte Carlo al- gorithm to execute simulations. The results are specialized to classical models as those by Vasicek, Hull and White and CIR with a semi-Markov modulation.

preprint2012arXivOpen access
Guglielmo D'AmicoRaimondo MancaGiovanni Salvi
q-fin.CPq-fin.PRmath.PR
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Guglielmo D'AmicoRaimondo MancaGiovanni Salvi

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