@inbook{49d6d547d28a4edc910822ebfc18dee4,
title = "The Heath-Jarrow-Morton model with regime shifts and jumps priced",
abstract = "The Heath-Jarrow-Morton model is an important tool for describing the term structure of interest rates. A regime switching version was considered by Elliott and Siu (Quant Finance 16(12):1791–1800, 2016). It is of interest to price the risk due to the regime switching and this was discussed in Elliott and Siu (Quant Finance 16(12):1791–1800, 2016). In this paper, an extended Heath-Jarrow-Morton model for stochastic forward rates, incorporating both regime shifts and jumps is considered, where jumps in the forward rate dynamics are directly triggered by the regime switches. No-arbitrage drift conditions, which take into account the pricing of both the regime-switching and jump risks, are derived in two situations. The first situation starts with a risk-neutral measure while the second situation starts with the real-world measure.",
keywords = "Forward rate processes, Heath-Jarrow-Morton model, Jumps, No-arbitrage drift conditions, Regime shifts",
author = "Elliott, {Robert J.} and Siu, {Tak Kuen}",
year = "2018",
doi = "10.1007/978-3-319-95285-7_3",
language = "English",
isbn = "9783319952840",
series = "Contributions to Management Science",
publisher = "Springer, Springer Nature",
pages = "45--59",
editor = "Mehdi Mili and Medina, {Reyes Samaniego} and {di Pietro}, Filippo",
booktitle = "New methods in fixed income modeling",
address = "United States",
}