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Regime switching models
I would be extremely grateful if you could point me to any good source on Regime switching, mainly:
What we define as regime switch
Different kinds of regimes (trend, high/low vol)
Attempts at ...
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Immunization and Sensitivity Analysis
Frequently a company wants to match its assets and liabilities. However, perfect matching is not practical due to fluctuations in interest rates. So they hedge their risk using immunization. This can ...
