The Wishart short rate model

Details The Wishart short rate model The Wishart short rate model

2012-03-25

arxiv.org/abs/1203.5513v1

Economy

Quantitative Finance

Pricing of Securities

Scientific paper

We consider a short rate model, driven by a stochastic process on the cone of positive semidefinite matrices. We propose a new closed form solution for the pricing of zero-coupon bonds and interest-rate derivatives, based on the Cameron-Martin approach outlined in Gnoatto and Grasselli (2011). Moreover, we derive sufficient conditions ensuring that the model replicates normal, inverse or humped yield curves.

Affiliated with

Also associated with

No associations

Rating

The Wishart short rate model does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with The Wishart short rate model, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and The Wishart short rate model will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-75130