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The Wishart short rate model

Published 25 Mar 2012 in q-fin.PR | (1203.5513v2)

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.

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Authors (1)

  1. Alessandro Gnoatto 

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