Affine HJM Framework on Sd+ 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.
0
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.