Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment

作者：

Highlights：

• We included the notation suggested, making explicit the dependence of LΨ and Lθ in M and W in formulas (15) and (16). We also changed the occurrences of these functions in the lines that followed.

• In pages 9 and 10, formulas (25), (26) and (27) we replaced σε(s)/2 to σε(s)2/2.

摘要

•We included the notation suggested, making explicit the dependence of LΨ and Lθ in M and W in formulas (15) and (16). We also changed the occurrences of these functions in the lines that followed.•In pages 9 and 10, formulas (25), (26) and (27) we replaced σε(s)/2 to σε(s)2/2.

论文关键词：Markov-modulated jump-diffusion model,Short rate model,Jump-telegraph process,Unbiased expectation hypothesis,Convexity adjustment,Bond valuation

论文评审过程：Received 15 April 2020, Revised 20 November 2020, Accepted 26 November 2020, Available online 20 December 2020, Version of Record 20 December 2020.

论文官网地址：https://doi.org/10.1016/j.amc.2020.125854