THE CARMA INTEREST RATE MODEL

DOI10.1142/S0219024914500083zbMath1290.91170MaRDI QIDQ4979881

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

Publication date: 19 June 2014

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

zbMATH Keywords

calibration; interest rate model; term structure; yield curve; bond pricing; short rate; CARMA process; bond option pricing; forward rate; volatility curve

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

91G30: Interest rates, asset pricing, etc. (stochastic models)

Related Items

FORWARD PRICES AS FUNCTIONALS OF THE SPOT PATH IN COMMODITY MARKETS MODELED BY LEVY SEMISTATIONARY PROCESSES, Recent results in the theory and applications of CARMA processes, Integrability conditions for space-time stochastic integrals: theory and applications, CARMA processes as solutions of integral equations, Dependence Estimation for High-frequency Sampled Multivariate CARMA Models, Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets, Limit Theory for High Frequency Sampled MCARMA Models

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