摘要翻译：
在本文中，我们考虑了一个离散时间经济，其中我们假设短期利率遵循一个制度转换资产过程的二次期限结构。可能的非线性结构和利率可能具有不同的经济或金融趋势的事实证明了制度转换二次期限结构模型（RS-QTSM）的兴趣。事实上，这种制度转换过程依赖于带有时间相关转移概率矩阵的马尔可夫链的值，它可以很好地捕捉经济的不同状态（制度）。我们证明了在此模型下，条件零息债券价格也存在二次期限结构。此外，在这种分解中出现的随机系数满足一个显式的耦合随机向后递推系统。
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英文标题：
《Markov switching quadratic term structure models》
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作者：
St\'ephane Goutte (LPMA)
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest rate can have different economic or financial trends justify the interest of Regime Switching Quadratic Term Structure Model (RS-QTSM). Indeed, this regime switching process depends on the values of a Markov chain with a time dependent transition probability matrix which can well captures the different states (regimes) of the economy. We prove that under this modelling that the conditional zero coupon bond price admits also a quadratic term structure. Moreover, the stochastic coefficients which appear in this decomposition satisfy an explicit system of coupled stochastic backward recursions.
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PDF链接：
https://arxiv.org/pdf/1305.2693