The Wishart Short-Rate Model

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

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Year of publication:	2014
Authors:	Gnoatto, Alessandro
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Zinsstruktur \| Yield curve \| Zins \| Interest rate

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Extent:	1 Online-Ressource (26 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: International Journal of Theoretical and Applied Finance, Vol. 15, No. 8, 2012 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 24, 2012 erstellt
Other identifiers:	10.2139/ssrn.2028339 [DOI]
Classification:	G30 - Corporate Finance and Governance. General ; G20 - Financial Institutions and Services. General ; J60 - Mobility, Unemployment, and Vacancies. General ; j25
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013066336