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THE CARMA INTEREST RATE MODEL - MaRDI portal

THE CARMA INTEREST RATE MODEL (Q4979881)

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scientific article; zbMATH DE number 6305520
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English
THE CARMA INTEREST RATE MODEL
scientific article; zbMATH DE number 6305520

    Statements

    title
    THE CARMA INTEREST RATE MODEL (English)
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    author
    Arne Andresen
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    Fred Espen Benth
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    Steen Koekebakker
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    Valeriy Zakamulin
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    publication date
    19 June 2014
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    zbMATH Keywords
    interest rate model
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    short rate
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    forward rate
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    term structure
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    CARMA process
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    bond pricing
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    bond option pricing
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    yield curve
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    volatility curve
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    calibration
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    62P05
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    62M10
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    91G70
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    zbMATH DE Number
    6305520
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    OpenAlex ID
    W3123685831
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