Continuous Time Wishart Process for Stochastic Risk (Q5485103): Difference between revisions
From MaRDI portal
Created a new Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 22:36, 5 March 2024
scientific article; zbMATH DE number 5050403
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous Time Wishart Process for Stochastic Risk |
scientific article; zbMATH DE number 5050403 |
Statements
Continuous Time Wishart Process for Stochastic Risk (English)
0 references
28 August 2006
0 references
credit risk
0 references
quadratic term structure
0 references
stochastic volatility
0 references
Ornstein-Uhlenbeck process
0 references
conditional Laplace transform
0 references
Riccati equation
0 references
