Abstract: We consider a short rate model, driven by a stochastic process on the cone of positive semidefinite matrices. We derive sufficient conditions ensuring that the model replicates normal, inverse or humped yield curves.
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Cited in
(14)- Recent advances on eigenvalues of matrix-valued stochastic processes
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
- Pricing range notes within Wishart affine models
- High-dimensional limits of eigenvalue distributions for general Wishart process
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- Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
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