Long-term yield in an affine HJM framework on S_d^+

DOI10.1007/S00245-016-9379-8MaRDI QIDQ722068zbMATH OpenOpenAlexFDO

Authors Francesca Biagini, Alessandro Gnoatto, Maximilian Härtel

Publication date 20 July 2018

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-016-9379-8

zbMATH Keywords

yield curveWishart processaffine processHJMlong-term yield

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(5)

• Affine realizations with affine state processes for stochastic partial differential equations
• Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
• Finite dimensional affine realisations of HJM models in terms of forward rates and yields
• General analysis of long-term interest rates
• Geometric ergodicity of affine processes on cones

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