Pricing regime-switching risk in an HJM interest rate environment

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@article{86d6977bfb0b476b8b95540a72b81b64,

title = "Pricing regime-switching risk in an HJM interest rate environment",

author = "Elliott, \{Robert J.\} and Siu, \{Tak Kuen\}",

year = "2016",

month = dec,

day = "1",

doi = "10.1080/14697688.2015.1136078",

language = "English",

volume = "16",

pages = "1791--1800",

journal = "Quantitative Finance",

issn = "1469-7688",

publisher = "Taylor \& Francis",

number = "12",

}

TY - JOUR

T1 - Pricing regime-switching risk in an HJM interest rate environment

AU - Elliott, Robert J.

AU - Siu, Tak Kuen

PY - 2016/12/1

Y1 - 2016/12/1

UR - https://www.scopus.com/pages/publications/84964381076

U2 - 10.1080/14697688.2015.1136078

DO - 10.1080/14697688.2015.1136078

M3 - Article

AN - SCOPUS:84964381076

SN - 1469-7688

VL - 16

SP - 1791

EP - 1800

JO - Quantitative Finance

JF - Quantitative Finance

IS - 12

ER -