2 papers
q-fin.MF2019
Jump-telegraph models for the short rate: pricing and convexity adjustments of zero coupon bonds
Oscar Lopez, Gerardo E. Oleaga, Alejandra Sanchez
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…
q-fin.PM2014
Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
Oscar Lopez, Rafael Serrano
We study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump asset price model with Markov-modulated (regime switching)…