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

Author

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  • Francesca Biagini
  • Alessandro Gnoatto
  • Maximilian Hartel

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.

Suggested Citation

  • Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2013. "Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield," Papers 1311.0688, arXiv.org, revised Aug 2015.
  • Handle: RePEc:arx:papers:1311.0688
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    Cited by:

    1. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2015. "The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates," Papers 1507.00208, arXiv.org, revised Jun 2019.
    2. Tappe, Stefan, 2016. "Affine realizations with affine state processes for stochastic partial differential equations," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 2062-2091.
    3. Stefan Tappe, 2019. "Affine realizations with affine state processes for stochastic partial differential equations," Papers 1907.00336, arXiv.org.

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