Bayraci, Selcuk; UNAL, GAZANFER - Volkswirtschaftliche Fakultät, … - 2010
We proposed a continuous time ARMA known as CARMA(p,q) model for modeling the interest rate dynamics. CARMA(p,q) models have an advantage over their discrete time counterparts that they allow using Ito formulas and provide closed-form solutions for bond and bond option prices. We demonstrate the...