SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates
构建了一个多因子随机波动率期限结构模型，捕捉SOFR及其期货隐含远期利率的关键特征，校准至SOFR期货期权后能较好拟合市场，并揭示了利率均值回归源于货币政策的机制。
Abstract The Secured Overnight Funding Rate (SOFR) has become the risk‐free rate benchmark in US dollars, thus term structure models should reflect key features exhibited by SOFR and forward rates implied by SOFR futures. We construct a multifactor, stochastic volatility term structure model which incorporates these features. Calibrating to options on SOFR futures, we achieve a reasonable fit to the market across maturities and strikes in a single model. This also provides novel insights into SOFR term rate behavior (and implied volatilities) within their accrual periods, and a model mechanism by which interest rate mean reversion arises from monetary policy.