The Wishart short rate model

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.

References in corpus (4)

• Affine processes on positive semidefinite matrices
• Multivariate supOU processes
• Option Pricing in Multivariate Stochastic Volatility Models of OU Type
• On the definition, stationary distribution and second order structure of positive semidefinite Ornstein--Uhlenbeck type processes

Cited by in corpus (1)

• Joint survival annuity derivative valuation in the linear-rational Wishart mortality model