The CARMA Interest Rate Model
The CARMA Interest Rate Model
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CARMA 利率模型
DOI：
10.2139/ssrn.1138632
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发表时间：
2012
期刊：
影响因子：
--
通讯作者：
Valeriy Zakamulin
中科院分区：
文献类型：
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作者：
Arne Andresen;F. Benth;Steen Koekebakker;Valeriy Zakamulin
本文提出了一个多因素连续时间自回归滑动平均（CARMA）模型，用于预测短期和远期利率。该模型能够对短期和远期利率动态进行充分的统计描述。我们发现，这是一个易于处理的期限结构模型，并提供了封闭形式的解决方案，债券价格，收益率，债券期权价格，远期利率波动的期限结构。我们证明了我们的模型的能力，通过将其校准到一个面板的即期汇率和远期汇率的经验波动率同时，使模型与即期汇率动态和远期汇率波动结构一致。
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.