THE CARMA INTEREST RATE MODEL
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Publication:4979881
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)
calibration; interest rate model; term structure; yield curve; bond pricing; short rate; CARMA process; bond option pricing; forward rate; volatility curve
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)
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