pith. sign in

arxiv: 1203.5513 · v2 · pith:LHDUTXT5new · submitted 2012-03-25 · 💱 q-fin.PR

The Wishart short rate model

classification 💱 q-fin.PR
keywords modelrateshortconditionsconeconsidercurvesderive
0
0 comments X
read the original 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.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.