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]
@article{LopezOS21, title = {Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment}, author = {Oscar López and Gerardo Oleaga and Alejandra Sánchez}, year = {2021}, doi = {10.1016/j.amc.2020.125854}, url = {https://doi.org/10.1016/j.amc.2020.125854}, researchr = {https://researchr.org/publication/LopezOS21}, cites = {0}, citedby = {0}, journal = {Applied Mathematics and Computation}, volume = {395}, pages = {125854}, }