Long-Term Yield in an Affine HJM Framework on S-d(+)

Biagini, F; Gnoatto, A; Hartel, M

Biagini, F (reprint author), LMU Univ, Dept Math, Theresienstr 39, D-80333 Munich, Germany.; Biagini, F (reprint author), Univ Oslo, Dept Math, Oslo, Norway.

APPLIED MATHEMATICS AND OPTIMIZATION, 2018; 77 (3): 405

Abstract

We develop the HJM framework for forward rates driven by affine processes on the state space of symmetric positive semidefinite matrices. In this sett......

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