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Calibration of a Regime-Switching Interest Rate Model
Calibration of a Regime-Switching Interest Rate Model This presentation illustrates a calibration model against 60 years of historical data using a pragmatic mixture of filtering, maximum ...- Authors: James Bridgeman
- Date: Feb 2014
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Moments of a Regime-Switching Stochastic Interest Rate Model With Randomized Regimes
Moments of a Regime-Switching Stochastic Interest Rate Model With Randomized Regimes Prior work indicates that a regime-switching stochastic model with randomized regime parameters creates a more ...- Authors: James Bridgeman
- Date: Dec 2007
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Stochastic models