Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling

Abstract : We introduce a class of interest rate models, called the α-CIR model, which gives a natural extension of the standard CIR model by adopting the α-stable Lévy process and preserving the branching property. This model allows to describe in a unified and parsimonious way several recent observations on the sovereign bond market such as the persistency of low interest rate together with the presence of large jumps at local extent. We emphasize on a general integral representation of the model by using random fields, with which we establish the link to the CBI processes and the affine models. Finally we analyze the jump behaviors and in particular the large jumps, and we provide numerical illustrations.
Type de document :
Pré-publication, Document de travail
2016
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https://hal.archives-ouvertes.fr/hal-01275397
Contributeur : Ying Jiao <>
Soumis le : jeudi 18 février 2016 - 09:50:59
Dernière modification le : lundi 29 mai 2017 - 14:22:08
Document(s) archivé(s) le : jeudi 19 mai 2016 - 10:27:41

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SCIR-v17.pdf
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  • HAL Id : hal-01275397, version 2
  • ARXIV : 1602.05541

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Ying Jiao, Chunhua Ma, Simone Scotti. Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling. 2016. <hal-01275397v2>

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