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- Publisher
- Springer Journals
- Copyright
- Copyright © 2016 by Springer Science+Business Media New York
- Subject
- Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
- ISSN
- 0095-4616
- eISSN
- 1432-0606
- DOI
- 10.1007/s00245-016-9379-8
- Publisher site
- See Article on Publisher Site
Abstract
We develop the HJM framework for forward rates driven by affine processes on the state space of symmetric positive semidefinite matrices. In this setting we find an explicit representation for the long-term yield in terms of the model parameters. This generalises the results of El Karoui et al. (Rev Deriv Res 1(4):351–369, 1997) and Biagini and Härtel (Int J Theor Appl Financ 17(3):1–24, 2012), where the long-term yield is investigated under no-arbitrage assumptions in a HJM setting using Brownian motions and Lévy processes respectively.
Journal
Applied Mathematics and Optimization – Springer Journals
Published: Oct 6, 2016