Work

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

Year: 2013

Type: preprint

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.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.1311.0688

Authors: Biagini, Francesca, Gnoatto, Alessandro, Härtel, Maximilian

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1586599381

Cites: 33

Cited by:

Related to: 20