The Wishart Short-Rate Model
26 Pages Posted: 29 Mar 2012 Last revised: 7 May 2014
Date Written: March 24, 2012
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.
Keywords: Yield curve shapes, Wishart processes, Affine processes, Zero-coupon bond
JEL Classification: G30, G20, J60, J25
Suggested Citation: Suggested Citation