The Wishart short rate model

Alessandro Gnoatto

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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.

Date: 2012-03, Revised 2014-05
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Citations: View citations in EconPapers (4)

Published in International Journal on Theoretical and Applied Finance (15)08, 2012

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1203.5513

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