The Wishart short rate model
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Publication:4909141
DOI10.1142/S0219024912500562zbMATH Open1260.91247arXiv1203.5513OpenAlexW3125091590MaRDI QIDQ4909141FDOQ4909141
Authors: Alessandro Gnoatto 
Publication date: 12 March 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1203.5513
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Cited In (14)
- The explicit Laplace transform for the Wishart process
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
- Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
- Coherent foreign exchange market models
- Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates
- Maximum likelihood estimation for Wishart processes
- Simple simulation schemes for CIR and Wishart processes
- High-dimensional limits of eigenvalue distributions for general Wishart process
- Recent advances on eigenvalues of matrix-valued stochastic processes
- Explosion time for some Laplace transforms of the Wishart process
- Pricing range notes within Wishart affine models
- Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
- Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
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