Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield

Francesca Biagini, Alessandro Gnoatto and Maximilian H\"artel

Papers from arXiv.org

Abstract: We develop the HJM framework for forward rates driven by affine processes on the state space of symmetric positive matrices. In this setting we find a representation for the long-term yield and investigate the yield's asymptotic behaviour.

Date: 2013-11, Revised 2015-08
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Citations: View citations in EconPapers (3)

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