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摘要翻译：
本文提出了一个半马尔可夫调制的利率模型。我们假定开关过程是有限状态空间E的半马尔可夫过程，调制过程是扩散过程。我们导出了折扣因子的高阶矩的递推方程，并描述了一个蒙特卡罗算法来执行模拟。本文的结果专门用于经典模型，如Vasicek、Hull和White的模型和CIR的半马尔可夫调制模型。
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英文标题：
《A Semi-Markov Modulated Interest Rate Model》
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作者：
Guglielmo D'Amico, Raimondo Manca and Giovanni Salvi
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最新提交年份：
2012
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
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.
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PDF链接：
https://arxiv.org/pdf/1210.3164
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