THE WISHART SHORT RATE MODEL (Q4909141): Difference between revisions

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+Multivariate supOU processes
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+Normal rank
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+Arbitrage Theory in Continuous Time
@@ Property / cites work: Arbitrage Theory in Continuous Time / rank @@
+Normal rank
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+Wishart processes
@@ Property / cites work: Wishart processes / rank @@
+Normal rank
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+Affine processes on positive semidefinite matrices
+Normal rank
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+HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS
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+Normal rank
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+Option pricing when correlations are stochastic: an analytical framework
+Normal rank
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+A multifactor volatility Heston model
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+Normal rank
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+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
+Normal rank
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+SOLVABLE AFFINE TERM STRUCTURE MODELS
@@ Property / cites work: SOLVABLE AFFINE TERM STRUCTURE MODELS / rank @@
+Normal rank
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+Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
+Normal rank
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+On strong solutions for positive definite jump diffusions
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+Option Pricing in Multivariate Stochastic Volatility Models of OU Type
+Normal rank
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+On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
+Normal rank