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 journal › Article › peer-review

14 Citations (Scopus)

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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",

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publisher = "Taylor & Francis",

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AU - Elliott, Robert J.

AU - Siu, Tak Kuen

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