Jump-telegraph models for the short rate: pricing and convexity adjustments of zero coupon bonds

10 Jan 2019 Lopez Oscar Oleaga Gerardo E. Sanchez Alejandra

In this article, we consider a Markov-modulated model with jumps for short rate dynamics. We obtain closed formulas for the term structure and forward rates using the properties of the jump-telegraph process and the expectation hypothesis... (read more)

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