Arne Andresen

Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology

NO-7491 Trondheim

Norway

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Scholarly Papers (1)

1.

The CARMA Interest Rate Model

Number of pages: 33 Posted: 30 May 2008 Last Revised: 01 Feb 2013
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, University of Oslo, School of Business and Law at the University of Agder and University of Agder - School of Business and Law
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Citation 2

Abstract:

interest rate model, short rate, forward rate, term structure, CARMA process, bond pricing, bond option pricing, yield curve, volatility curve, calibration