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...

Evidence of extensive fraud in LIBOR submissions has fueled international calls for reform. A common theme is that the current rate setting process, in addition to being subject to manipulation, relies on conjecture as to rates that might prevail in markets that can often be illiquid, and should...

We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: i) ensures nonnegative interest rates, ii) easily...