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research
The Wishart short rate model
Authors
ALESSANDRO GNOATTO
Barndorff-Nielsen O. E.
+3Â more
Brockett R.
Duffie D.
Gourieroux C.
Publication date
1 January 2012
Publisher
'World Scientific Pub Co Pte Lt'
Doi
Cite
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on
arXiv
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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oai:iris.univr.it:11562/976334
Last time updated on 09/07/2019
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info:doi/10.1142%2Fs0219024912...
Last time updated on 03/01/2020