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

Abstract

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.

30 pages

References in corpus (2)

• Option Pricing in Multivariate Stochastic Volatility Models of OU Type
• Regularity of affine processes on general state spaces