Abstract

https://ssrn.com/abstract=2895939
 


 



Regime Switching CIR Tree


Ludger Overbeck


University of Giessen

Johannes Weckend


Independent

January 9, 2017


Abstract:     
In time series of financial data one often observes significant sudden changes as in the credit crisis in 2008. One way to model those changes is regime switching. Here we show how to handle regime switching in a tree associated with a Cox-Ingersoll-Ross short rate process.

Number of Pages in PDF File: 8

Keywords: Regime Switching, Cox-Ingersoll-Ross, Tree Approximation

JEL Classification: G13


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Date posted: January 10, 2017  

Suggested Citation

Overbeck, Ludger and Weckend, Johannes, Regime Switching CIR Tree (January 9, 2017). Available at SSRN: https://ssrn.com/abstract=2895939

Contact Information

Ludger Overbeck (Contact Author)
University of Giessen ( email )
Institut of Mathematics
Giessen, 35394
Germany
Johannes Weckend
Independent ( email )
No Address Available
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