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

preprint2015arXivOpen access

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.

Explore this paper’s authors, topics and related work.

Building this map preview

BZPEER is loading the nearby papers, people, topics and institutions for this page.

Write a reviewWrite

No reviews yet.

Add a commentWrite

No comments yet.

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

Abstract

Connections

Building this map preview

Reviews 0

Discussion 0

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

Abstract

Connections

Building this map preview

Reviews 0

Discussion 0

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