THE CARMA INTEREST RATE MODEL

DOI10.1142/S0219024914500083zbMath1290.91170OpenAlexW3123685831MaRDI QIDQ4979881

Arne Andresen, Steen Koekebakker, Fred Espen Benth, Valeriy Zakamulin

Publication date: 19 June 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024914500083

zbMATH Keywords

calibrationinterest rate modelterm structureyield curvebond pricingshort rateCARMA processbond option pricingforward ratevolatility curve

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (17)

On non-negative modeling with CARMA processes ⋮ Limit Theory for High Frequency Sampled MCARMA Models ⋮ Continuous time ARMA processes: discrete time representation and likelihood evaluation ⋮ A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework ⋮ Integrability conditions for space-time stochastic integrals: theory and applications ⋮ CARMA processes as solutions of integral equations ⋮ Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing ⋮ Recent results in the theory and applications of CARMA processes ⋮ Robust estimation of stationary continuous‐time arma models via indirect inference ⋮ Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes ⋮ Factorization and discrete-time representation of multivariate CARMA processes ⋮ Dependence Estimation for High-frequency Sampled Multivariate CARMA Models ⋮ Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies ⋮ A note on the embeddability conditions in the case of integrated CARMA (2, 1) stochastic process with single and double zero roots ⋮ Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets ⋮ FORWARD PRICES AS FUNCTIONALS OF THE SPOT PATH IN COMMODITY MARKETS MODELED BY LEVY SEMISTATIONARY PROCESSES ⋮ Finite Mixture Approximation of CARMA(p,q) Models

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• An alternative approach on the existence of affine realizations for HJM term structure models
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure

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