THE WISHART SHORT RATE MODEL

Alessandro Gnoatto

International Journal of Theoretical and Applied Finance (IJTAF), 2012, vol. 15, issue 08, 1-24

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.

Keywords: Yield curve shapes; Wishart processes; affine processes; zero-coupon bond (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (10)

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Working Paper: The Wishart short rate model (2014)
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DOI: 10.1142/S0219024912500562

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