Gnoatto, Alessandro
(2012):
The Wishart short rate model.
In: International Journal of Theoretical and Applied Finance, Vol. 15, No. 08, 1250056
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.
| Item Type: | Journal article |
|---|---|
| Faculties: | Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics |
| Subjects: | 500 Science > 510 Mathematics |
| ISSN: | 0219-0249 |
| Language: | English |
| Item ID: | 110026 |
| Date Deposited: | 26. Mar 2024, 08:18 |
| Last Modified: | 26. Mar 2024, 08:18 |
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