Section: New Results

An Affine term structure model for interest rates that involve Wishart diffusions

Participants : Aurélien Alfonsi, E. Palidda.

Affine term structure models (Dai and Singleton, Duffie, ...) consider vector affine diffusions. Here, we would like to extend this model by including some Wishart dynamics, and to get a model that could better fit the market. We also develop some numerical pricing methods for this model to make its implementation possible.