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

Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling
Speaker:  Simone Mattia Scotti - LPMA, Université Paris Diderot
  Wednesday, January 11, 2017 at 3:00 PM Rinfresco 14.45, inizio seminario 15.00.

We introduce a class of interest rate models, called the alpha-CIR model, which gives a natural extension of the standard CIR model by adopting the alpha-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 emphasise 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 analyse the jump behaviours and in particular the large jumps, and we provide numerical illustrations.
This is a joint work with Ying Jiao and Chunhua Ma.

Place
Ca' Vignal 3 - Piramide, Floor 0, Hall Verde

Contact person
Luca Di Persio

Publication date
November 29, 2016

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