The Explicit Laplace Transform for the Wishart Process (Q2923426): Difference between revisions

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+Exact and high-order discretization schemes for Wishart processes and their affine extensions
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+Q4084284
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+Q5420974
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+Optimal Portfolios for Financial Markets with Wishart Volatility
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+Wishart processes
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+The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
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+Affine processes on positive semidefinite matrices
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+Riding on the smiles
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+HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS
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+Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
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+Option pricing when correlations are stochastic: an analytical framework
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+A multifactor volatility Heston model
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+Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws
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+Affine processes and applications in finance
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+THE WISHART SHORT RATE MODEL
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+Continuous Time Wishart Process for Stochastic Risk
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+Discrete time Wishart term structure models
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+Derivative Pricing With Wishart Multivariate Stochastic Volatility
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+SOLVABLE AFFINE TERM STRUCTURE MODELS
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices
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+Q4765643
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+On the Matrix Riccati Equation
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+Affine processes on positive semidefinite \(d \times d\) matrices have jumps of finite variation in dimension \(d > 1\)
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+On the existence of non-central Wishart distributions
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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
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+On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
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+A decomposition of Bessel Bridges
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+Q4255599
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