Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield
Pricing of Securities
2015-08-24 v2
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.
Keywords
Cite
@article{arxiv.1311.0688,
title = {Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield},
author = {Francesca Biagini and Alessandro Gnoatto and Maximilian Härtel},
journal= {arXiv preprint arXiv:1311.0688},
year = {2015}
}
Comments
30 pages