Discrete time Wishart term structure models (Q543795): Difference between revisions

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+Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
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+Q4265493
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+Wishart processes
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+QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES
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+LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
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+An Intertemporal General Equilibrium Model of Asset Prices
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+A Theory of the Term Structure of Interest Rates
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+Option pricing when correlations are stochastic: an analytical framework
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+Structural Laplace Transform and Compound Autoregressive Models
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+The surprise element: Jumps in interest rates.
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+Moment generating function approach to pricing interest rate and foreign exchange rate claims.
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+Affine processes and applications in finance
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+A YIELD‐FACTOR MODEL OF INTEREST RATES
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+A Matrix Measure of Multivariate Local Risk Aversion
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+Q5624436
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+Continuous Time Wishart Process for Stochastic Risk
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+Q3645682
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+The Wishart autoregressive process of multivariate stochastic volatility
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+DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE
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+Derivative Pricing With Wishart Multivariate Stochastic Volatility
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+Q4382161
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+On Multivariate Risk Aversion
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+Design and Estimation of Quadratic Term Structure Models *
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+Consistency conditions for affine term structure models.
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+Q3219581
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+The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
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+Estimation of affine asset pricing models using the empirical characteristic function
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+An equilibrium characterization of the term structure
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