Continuous Time Wishart Process for Stochastic Risk (Q5485103): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1080/07474930600713234 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2007895608 / rank | |||
Normal rank |
Revision as of 22:04, 19 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