Long-Term Yield in an Affine HJM Framework on S<sub>d</sub><sup>+</sup>

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. (1997) and Biagini and Härtel (2014), where the long-term yield is investigated under no-arbitrage assumptions in a HJM setting using Brownian motions and Lévy processes respectively

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Year of publication:	2015
Authors:	Biagini, Francesca
Other Persons:	Gnoatto, Alessandro (contributor) ; Härtel, Maximilian (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Zinsstruktur \| Yield curve \| Rendite \| Yield \| Kapitaleinkommen \| Capital income

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