Invited Editorial “The challenges imposed by low interest rates”

Beacco, Jean Michel; Lubochinsky, Catherine; Brière, Marie; Monfort, Alain; Hillairet, Caroline; Benoît, Sylvain

doi:10.1057/s41260-019-00124-6

J Asset Manag

2019

DOI: 10.1057/s41260-019-00124-6

|View full text |Cite

Invited Editorial “The challenges imposed by low interest rates”

Jean Michel Beacco¹,

Catherine Lubochinsky²,

Marie Brière³

et al.

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2021

Publication Types

Select...

Article1

Relationship

Self Cite0

Independent1

Authors

Journals

Cited by 1 publication

(1 citation statement)

References 5 publications

(3 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…From the economic modeling viewpoint, the continued relevance of ATSMs, during and after the worst financial crisis of the post-war period, is elaborated in Beacco et al [1]. Amidst the current fragile global economy and vulnerable financial system, ATSMs meet challenges arising from low interest rates.…”

mentioning

confidence: 99%

Bond pricing formulas for Markov-modulated affine term structure models

Rodrigo¹,

Mamon²

2021

JIMO

View full text Add to dashboard Cite

This article provides new developments in characterizing the class of regime-switching exponential affine interest rate processes in the context of pricing a zero-coupon bond. A finite-state Markov chain in continuous time dictates the random switching of time-dependent parameters of such processes. We present exact and approximate bond pricing formulas by solving a system of partial differential equations and minimizing an error functional. The bond price expression exhibits a representation that shows how it is explicitly impacted by the rate matrix and the time-dependent coefficient functions of the short rate models. We validate the bond pricing formulas numerically by examining a regime-switching Vasicek model.

show abstract

mentioning

confidence: 99%

Bond pricing formulas for Markov-modulated affine term structure models

Rodrigo¹,

Mamon²

2021

JIMO

View full text Add to dashboard Cite

show abstract

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

Contact Info

hi@scite.ai

10624 S. Eastern Ave., Ste. A-614

Henderson, NV 89052, USA

Blog Terms and Conditions API Terms Privacy Policy Contact Cookie Preferences Do Not Sell or Share My Personal Information

Made with 💙 for researchers

Part of the Research Solutions Family.

Invited Editorial “The challenges imposed by low interest rates”

Cited by 1 publication

References 5 publications

Bond pricing formulas for Markov-modulated affine term structure models

Bond pricing formulas for Markov-modulated affine term structure models

Contact Info

Product

Resources

About