A bivariate Hawkes process for interest rate modeling
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- 作者：Donatien Hainaut donatien.hainaut@esc-rennes.fr" class="auth_mail" title="E-mail the corresponding author
- 关键词：Hawkes process ; Self and mutually exciting processes ; Interest rate ; Micro-structure ; Yield curve
- 刊名：Economic Modelling
- 出版年：2016
- 出版时间：September 2016
- 年：2016
- 卷：57
- 期：Complete
- 页码：180-196
- 全文大小：2412 K
文摘
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The interest rate is ruled by Hawkes processes modeling the bid and demand for bonds.
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Hawkes processes introduce feedback, contagion and memory effects.
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A set of equivalent measures preserving the dynamics of the process, is defined.
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Bonds and derivatives are priced under risk neutral and forward measures.
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The model is fitted to swap rates from 2004 to 2014.