Some results on correlation matrices for interest rates

DOI10.1007/S10440-011-9622-XzbMATH Open1220.91041OpenAlexW2097523475MaRDI QIDQ637511FDOQ637511

Authors: E. Salinelli, Carlo Sgarra 

Publication date: 6 September 2011

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-011-9622-x

Recommendations

• Upper bound for the Lempert function of smooth domains
• Shift, slope and curvature for a class of yields correlation matrices
• Level–Slope–Curvature – Fact or Artefact?
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• Effect of correlation on bond prices in short rate models of interest rates

zbMATH Keywords

principal component analysistotal positivitycorrelation structuresinterest rates models

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Eigenvalues, singular values, and eigenvectors (15A18) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic integral equations (60H20)

Cites Work

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• Correlation matrices of yields and total positivity
• Shift, slope and curvature for a class of yields correlation matrices

Cited In (9)

• Eigenvalue-eigenvector structure of Schoenmakers-Coffey matrices via Toeplitz technology and applications
• Capturing the Correlations of Fixed-income Instruments
• Exploring the total positivity of yields correlations
• Level–Slope–Curvature – Fact or Artefact?
• Accurate and fast computations with positive extended Schoenmakers-Coffey matrices
• On the level-slope-curvature effect in yield curves and eventual total positivity
• Upper bound for the Lempert function of smooth domains
• Correlation matrices of yields and total positivity
• Shift, slope and curvature for a class of yields correlation matrices

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