THE CARMA INTEREST RATE MODEL

DOI10.1142/S0219024914500083MaRDI QIDQ4979881zbMATH OpenOpenAlexFDO

Authors Arne Andresen, Fred Espen Benth, Steen Koekebakker, 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

bond option pricingbond pricingcalibrationCARMA processforward rateinterest rate modelshort rateterm structurevolatility curveyield 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) Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; risk measures (91G70)

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Cites work

• A theory of the term structure of interest rates
• An alternative approach on the existence of affine realizations for HJM term structure models.
• An analytically tractable interest rate model with humped volatility
• An equilibrium characterization of the term structure
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Existence of invariant manifolds for stochastic equations in infinite dimension
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Interest rate option pricing with volatility humps
• On continuous-time threshold ARMA processes
• Time series analysis by state space methods

Cited in

(19)

• Continuous time ARMA processes: discrete time representation and likelihood evaluation
• Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes
• A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework
• Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
• On non-negative modeling with CARMA processes
• 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
• Local-momentum autoregression and the modeling of interest rate term structure
• Limit theory for high frequency sampled MCARMA models
• Recent results in the theory and applications of CARMA processes
• Pricing of interval-on-maturity financial products under the ARMA volatility models
• Finite mixture approximation of CARMA(p,q) models
• Factorization and discrete-time representation of multi-variate CARMA processes
• Robust estimation of stationary continuous-time ARMA models via indirect inference
• Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes
• Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing
• A note on the embeddability conditions in the case of integrated CARMA (2, 1) stochastic process with single and double zero roots
• Integrability conditions for space-time stochastic integrals: theory and applications
• CARMA processes as solutions of integral equations

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