Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment

Oscar López, Gerardo Oleaga, Alejandra Sánchez. Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment. Applied Mathematics and Computation, 395:125854, 2021. [doi]

Abstract

Abstract is missing.