标题： 一种半马尔可夫调制的利率模型 显示英文标题

标题： A Semi-Markov Modulated Interest Rate Model

摘要： 在本文中，我们提出了一种半马尔可夫调制的利率模型。我们假设切换过程是一个具有有限状态空间 E 的半马尔可夫过程，而调制过程是一个扩散过程。我们推导了贴现因子的高阶矩的递归方程，并描述了一种蒙特卡洛算法来进行模拟。结果被专门应用于经典模型，如 Vasicek、Hull 和 White 以及带有半马尔可夫调制的 CIR 模型。 显示英文摘要

摘要： In this paper we propose a semi-Markov modulated model of interest rates. We assume that the switching process is a semi-Markov process with finite state space E and the modulated process is a diffusive process. We derive recursive equations for the higher order moments of the discount factor and we describe a Monte Carlo al- gorithm to execute simulations. The results are specialized to classical models as those by Vasicek, Hull and White and CIR with a semi-Markov modulation.