We propose an affine extension of the Linear Gaussian term structure Model (LGM) such
that the instantaneous covariation of the factors is given by an affine process on semidefinite …

Headline inflation in most industrialized countries, the US in particular, has been shown to
be mean reverting to core inflation in the medium term, whilst at the same time the pass-…

This PhD thesis is devoted to the study of an Affine Term Structure Model where we use
Wishart-like processes to model the stochastic variance-covariance of interest rates. This work …

… w interpretati growth rate ill be endo market infl tic (probabl reversion to e more pre forward
curv … go further before we ethods use thods lack procedures s sufficient bove gives e can play …

Headline inflation in most industrialized countries, the US in particular, has been shown to
be mean reverting to core inflation in the medium term, whilst at the same time the pass-…

… Copyright © 2011 Salvatore Palidda and the contributors All rights reserved. No part of this
book may be reprinted or reproduced or utilised in any form or by any electronic, mechanical, …

The first part of this thesis is devoted to the study of an Affine Term Structure Model (ATSM)
where we use Wishart-like processes to model the stochastic variance-covariance of interest …

oil market, which are passed on to the inflation financial markets as a result of arbitrages
between inflation-linked and oil futures markets. This increases the volatilities of future inflation, …

… Some numerical examples are presented in Palidda (2015) for the pricing of caplets in our
model. Here, we only present the expansion with respect to , since it is in accordance with our …

… , nei circuiti di vicinato o comunitari e l’enorme lavoro svolto all’interno delle famiglie diventano
irrilevanti e risultano invisibili le interdipendenze tra queste attività e la produzione per il …