Pricing regime-switching risk in an HJM interest rate environment

Robert J. Elliott*, Tak Kuen Siu

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)
Original languageEnglish
Pages (from-to)1791-1800
Number of pages10
JournalQuantitative Finance
Volume16
Issue number12
DOIs
Publication statusPublished - 1 Dec 2016

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