Affine HJM Framework on S_(d)⁺ and Long-Term Yield
classification
💱 q-fin.PR
keywords
yieldaffineframeworklong-termasymptoticbehaviourdevelopdriven
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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.
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