Regime-switching affine term structures
研究了马尔可夫链调制的远期利率HJM模型，推导了利率和能源期货市场的漂移条件，在仿射结构假设下将远期曲线转化为可显式求解的常微分方程组，并给出算法和数值实例。
We consider an HJM model setting for Markov-chain modulated forward rates. The underlying Markov chain is assumed to induce regime switches on the forward curve dynamics. Our primary focus is on the interest rate and energy futures markets. After deriving HJM-drift conditions for the two markets, we prove under the assumption of affine structure for the term structure that the forward curves are solutions to specific systems of ODEs that can be solved explicitly in many cases. This allows for a tractable model setting, and we present an algorithm for obtaining consistent forward curve models within our framework. We conclude by presenting some numerical examples and an application to real data under a one-factor Gaussian model setting.