The Wishart short rate model
Pricing of Securities
2014-05-08 v2
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.
Cite
@article{arxiv.1203.5513,
title = {The Wishart short rate model},
author = {Alessandro Gnoatto},
journal= {arXiv preprint arXiv:1203.5513},
year = {2014}
}