The Wishart short rate model
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Publication:4909141
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
- High-dimensional limits of eigenvalue distributions for general Wishart process
- Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
- Explosion time for some Laplace transforms of the Wishart process
- Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
- Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
- Coherent foreign exchange market models
- Simple simulation schemes for CIR and Wishart processes
- Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates
- Maximum likelihood estimation for Wishart processes
- Pricing range notes within Wishart affine models
- The explicit Laplace transform for the Wishart process
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