Alpha-CIR model with branching processes in sovereign interest rate modeling
Alpha-CIR model with branching processes in sovereign interest rate modeling
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DOI：
10.1007/s00780-017-0333-7
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发表时间：
2016-02
影响因子：
1.7
通讯作者：
Y. Jiao;Chunhua Ma;Simone Scotti
中科院分区：
文献类型：
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作者：
Y. Jiao;Chunhua Ma;Simone Scotti
我们引入了一类利率模型，称为-CIR模型，这是一个自然的扩展标准CIR模型，通过添加一个跳跃部分驱动的-稳定的Lévy过程的指数。利用该模型属于CBI过程族和仿射过程族这一事实，推导了债券价格的显式表达式，并分析了债券价格和债券收益率的行为。CIR模型使我们能够以一种统一和简约的方式描述最近对主权债券市场的几种观察，例如低利率的持续存在以及大的跳跃。最后，我们提供了一个彻底的分析跳跃，特别是大的跳跃。
We introduce a class of interest rate models, called the-CIR model, which is a natural extension of the standard CIR model by adding a jump part driven by-stable Lévy processes with index. We deduce an explicit expression for the bond price by using the fact that the model belongs to the family of CBI and affine processes, and analyze the bond price and bond yield behaviors. The-CIR model allows us to describe in a unified and parsimonious way several recent observations on the sovereign bond market such as the persistency of low interest rates together with the presence of large jumps. Finally, we provide a thorough analysis of the jumps, and in particular the large jumps.