The CARMA Interest Rate Model

IF 2.2 3区经济学 Q2 BUSINESS, FINANCE

European Journal of Finance Pub Date : 2012-12-20 DOI:10.2139/ssrn.1138632

Arne Andresen, F. Benth, Steen Koekebakker, Valeriy Zakamulin

引用次数: 37

Abstract

In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure model and provides closed-form solutions to bond prices, yields, bond option prices, and the term structure of forward rate volatility. We demonstrate the capabilities of our model by calibrating it to a panel of spot rates and the empirical volatility of forward rates simultaneously, making the model consistent with both the spot rate dynamics and forward rate volatility structure.

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CARMA利率模型

本文提出了短期利率和远期利率的多因素连续时间自回归移动平均(CARMA)模型。该模型能够对短期和远期汇率动态进行充分的统计描述。我们证明了这是一个易于处理的期限结构模型，并提供了债券价格、收益率、债券期权价格和远期利率波动的期限结构的封闭形式的解决方案。我们通过同时校准现货汇率和远期汇率的经验波动率来证明我们的模型的能力，使模型与即期汇率动态和远期汇率波动结构一致。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

European Journal of Finance BUSINESS, FINANCE-

CiteScore

5.40

自引率

8.00%

发文量

期刊介绍： The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.