{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2012:KGZPWBTD473O5FYXCDPSTXEZU4","short_pith_number":"pith:KGZPWBTD","schema_version":"1.0","canonical_sha256":"51b2fb0663e7f6ee971710df29dc99a712d4ceeafbf698be9629aca48c739b42","source":{"kind":"arxiv","id":"1203.4786","version":1},"attestation_state":"computed","paper":{"title":"A flexible matrix Libor model with smiles","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.CP"],"primary_cat":"q-fin.PR","authors_text":"Alessandro Gnoatto, Jos\\'e Da Fonseca, Martino Grasselli","submitted_at":"2012-03-21T17:08:13Z","abstract_excerpt":"We present a flexible approach for the valuation of interest rate derivatives based on Affine Processes. We extend the methodology proposed in Keller-Ressel et al. (2009) by changing the choice of the state space. We provide semi-closed-form solutions for the pricing of caps and floors. We then show that it is possible to price swaptions in a multifactor setting with a good degree of analytical tractability. This is done via the Edgeworth expansion approach developed in Collin-Dufresne and Goldstein (2002). A numerical exercise illustrates the flexibility of Wishart Libor model in describing t"},"verification_status":{"content_addressed":true,"pith_receipt":true,"author_attested":false,"weak_author_claims":0,"strong_author_claims":0,"externally_anchored":false,"storage_verified":false,"citation_signatures":0,"replication_records":0,"graph_snapshot":true,"references_resolved":false,"formal_links_present":false},"canonical_record":{"source":{"id":"1203.4786","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2012-03-21T17:08:13Z","cross_cats_sorted":["q-fin.CP"],"title_canon_sha256":"a0d66ca5fe06bf72754366a117e2048fe0439119f5cc7ff9b5106ea25a1da5ca","abstract_canon_sha256":"84ff09c2bc7405d91bd7e527f1edefff462dca1e8df0e1dc774611abfbabf1b5"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T03:59:37.184709Z","signature_b64":"ZTf+DLpQqtHAE01uaDtU4oDO5js6D2hYag86vQaFLLCtvA86o6AJeFoSsPBccTVmFFMAxBZCL0H78i4FGP7iCQ==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"51b2fb0663e7f6ee971710df29dc99a712d4ceeafbf698be9629aca48c739b42","last_reissued_at":"2026-05-18T03:59:37.184199Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T03:59:37.184199Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"A flexible matrix Libor model with smiles","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.CP"],"primary_cat":"q-fin.PR","authors_text":"Alessandro Gnoatto, Jos\\'e Da Fonseca, Martino Grasselli","submitted_at":"2012-03-21T17:08:13Z","abstract_excerpt":"We present a flexible approach for the valuation of interest rate derivatives based on Affine Processes. We extend the methodology proposed in Keller-Ressel et al. (2009) by changing the choice of the state space. We provide semi-closed-form solutions for the pricing of caps and floors. We then show that it is possible to price swaptions in a multifactor setting with a good degree of analytical tractability. This is done via the Edgeworth expansion approach developed in Collin-Dufresne and Goldstein (2002). A numerical exercise illustrates the flexibility of Wishart Libor model in describing t"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1203.4786","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"aliases":[{"alias_kind":"arxiv","alias_value":"1203.4786","created_at":"2026-05-18T03:59:37.184276+00:00"},{"alias_kind":"arxiv_version","alias_value":"1203.4786v1","created_at":"2026-05-18T03:59:37.184276+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1203.4786","created_at":"2026-05-18T03:59:37.184276+00:00"},{"alias_kind":"pith_short_12","alias_value":"KGZPWBTD473O","created_at":"2026-05-18T12:27:11.947152+00:00"},{"alias_kind":"pith_short_16","alias_value":"KGZPWBTD473O5FYX","created_at":"2026-05-18T12:27:11.947152+00:00"},{"alias_kind":"pith_short_8","alias_value":"KGZPWBTD","created_at":"2026-05-18T12:27:11.947152+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":0,"internal_anchor_count":0,"sample":[]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/KGZPWBTD473O5FYXCDPSTXEZU4","json":"https://pith.science/pith/KGZPWBTD473O5FYXCDPSTXEZU4.json","graph_json":"https://pith.science/api/pith-number/KGZPWBTD473O5FYXCDPSTXEZU4/graph.json","events_json":"https://pith.science/api/pith-number/KGZPWBTD473O5FYXCDPSTXEZU4/events.json","paper":"https://pith.science/paper/KGZPWBTD"},"agent_actions":{"view_html":"https://pith.science/pith/KGZPWBTD473O5FYXCDPSTXEZU4","download_json":"https://pith.science/pith/KGZPWBTD473O5FYXCDPSTXEZU4.json","view_paper":"https://pith.science/paper/KGZPWBTD","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1203.4786&json=true","fetch_graph":"https://pith.science/api/pith-number/KGZPWBTD473O5FYXCDPSTXEZU4/graph.json","fetch_events":"https://pith.science/api/pith-number/KGZPWBTD473O5FYXCDPSTXEZU4/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/KGZPWBTD473O5FYXCDPSTXEZU4/action/timestamp_anchor","attest_storage":"https://pith.science/pith/KGZPWBTD473O5FYXCDPSTXEZU4/action/storage_attestation","attest_author":"https://pith.science/pith/KGZPWBTD473O5FYXCDPSTXEZU4/action/author_attestation","sign_citation":"https://pith.science/pith/KGZPWBTD473O5FYXCDPSTXEZU4/action/citation_signature","submit_replication":"https://pith.science/pith/KGZPWBTD473O5FYXCDPSTXEZU4/action/replication_record"}},"created_at":"2026-05-18T03:59:37.184276+00:00","updated_at":"2026-05-18T03:59:37.184276+00:00"}