英文标题：
《Alpha-CIR Model with Branching Processes in Sovereign Interest Rate
  Modelling》
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作者：
Ying Jiao (ISFA), Chunhua Ma, Simone Scotti (LPMA)
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最新提交年份：
2016
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英文摘要：
  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 L{\\\'e}vy 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 emphasize 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 analyze the jump behaviors and in particular the large jumps, and we provide numerical illustrations.
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中文摘要：
我们引入了一类利率模型，称为$\\alpha$-CIR模型，它通过采用$\\alpha$-稳定的L{e}vy过程并保持分支性质，对标准CIR模型进行了自然扩展。该模型允许以统一且简洁的方式描述最近对主权债券市场的几项观察，例如低利率的持续性以及局部范围内的大幅跳跃。我们强调通过使用随机场对模型进行一般的积分表示，利用随机场建立与CBI过程和仿射模型的联系。最后，我们分析了跳跃行为，特别是大跳跃，并提供了数值说明。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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