Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices (Q2444649): Difference between revisions

← Older edit

@@ aliases / en / 0 / aliases / en / 0 @@
+Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model
@@ description / en / description / en @@
-scientific article
+scientific article; zbMATH DE number 6818957
@@ Property / title @@
+Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model (English)
+Normal rank
@@ Property / zbMATH Open document ID @@
+.91487
@@ Property / zbMATH Open document ID: 1410.91487 / rank @@
+Normal rank
@@ Property / DOI @@
+.1287/opre.2017.1636
@@ Property / DOI: 10.1287/opre.2017.1636 / rank @@
+Normal rank
@@ Property / author @@
+Jong Mun Lee
@@ Property / author: Jong Mun Lee / rank @@
+Normal rank
@@ Property / published in @@
+Operations Research
@@ Property / published in: Operations Research / rank @@
+Normal rank
@@ Property / publication date @@
+December 2017Timestamp +2017-12-15T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2017-12-15T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / publication date: 15 December 2017 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+C05
@@ Property / Mathematics Subject Classification ID: 65C05 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6818957
@@ Property / zbMATH DE Number: 6818957 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Monte-Carlo method
@@ Property / zbMATH Keywords: Monte-Carlo method / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+exact simulation
@@ Property / zbMATH Keywords: exact simulation / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W1981482972
@@ Property / OpenAlex ID: W1981482972 / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W1645061396
@@ Property / OpenAlex ID: W1645061396 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.0557
@@ Property / arXiv ID: 1309.0557 / rank @@
+Normal rank
@@ Property / cites work @@
+Exact and high-order discretization schemes for Wishart processes and their affine extensions
+Normal rank
@@ Property / cites work @@
+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
+Normal rank
@@ Property / cites work @@
+Wishart processes
@@ Property / cites work: Wishart processes / rank @@
+Normal rank
@@ Property / cites work @@
+Affine processes on positive semidefinite matrices
+Normal rank
@@ Property / cites work @@
+A multifactor volatility Heston model
@@ Property / cites work: A multifactor volatility Heston model / rank @@
+Normal rank
@@ Property / cites work @@
+Q3615208
@@ Property / cites work: Q3615208 / rank @@
+Normal rank
@@ Property / cites work @@
+Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws
+Normal rank
@@ Property / cites work @@
+Affine processes and applications in finance
@@ Property / cites work: Affine processes and applications in finance / rank @@
+Normal rank
@@ Property / cites work @@
+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Term-structure models. A graduate course
@@ Property / cites work: Term-structure models. A graduate course / rank @@
+Normal rank
@@ Property / cites work @@
+The Explicit Laplace Transform for the Wishart Process
+Normal rank
@@ Property / cites work @@
+Continuous Time Wishart Process for Stochastic Risk
+Normal rank
@@ Property / cites work @@
+The Wishart autoregressive process of multivariate stochastic volatility
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Affine processes on positive semidefinite \(d \times d\) matrices have jumps of finite variation in dimension \(d > 1\)
+Normal rank
@@ Property / cites work @@
+Q3219581
@@ Property / cites work: Q3219581 / rank @@
+Normal rank
@@ Property / cites work @@
+A decomposition of Bessel Bridges
@@ Property / cites work: A decomposition of Bessel Bridges / rank @@
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Bessel diffusions as a one-parameter family of diffusion processes
+Normal rank

Latest revision as of 15:09, 7 July 2024

scientific article; zbMATH DE number 6818957

Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model

Language	Label	Description	Also known as
English	Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices	scientific article; zbMATH DE number 6818957	Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model