THE WISHART SHORT RATE MODEL

DOI10.1142/S0219024912500562zbMath1260.91247arXiv1203.5513MaRDI QIDQ4909141

Alessandro Gnoatto

Publication date: 12 March 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.5513

zbMATH Keywords

affine processes; Wishart processes; zero-coupon bond; yield curve shapes

Mathematics Subject Classification ID

91G30: Interest rates, asset pricing, etc. (stochastic models)

Related Items

Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices, SIMPLE SIMULATION SCHEMES FOR CIR AND WISHART PROCESSES, Explosion time for some Laplace transforms of the Wishart process, Maximum likelihood estimation for Wishart processes, Long-term yield in an affine HJM framework on \(S_{d}^{+}\), 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, The Explicit Laplace Transform for the Wishart Process, COHERENT FOREIGN EXCHANGE MARKET MODELS

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