Calibration and advanced simulation schemes for the Wishart stochastic volatility model (Q5234328): Difference between revisions

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+Exact and high-order discretization schemes for Wishart processes and their affine extensions
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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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+Dynamics of implied volatility surfaces
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+A Theory of the Term Structure of Interest Rates
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+Affine processes on positive semidefinite matrices
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+Full and fast calibration of the Heston stochastic volatility model
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+Riding on the smiles
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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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+Affine processes and applications in finance
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+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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+The Explicit Laplace Transform for the Wishart Process
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+An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates
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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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+Computing the distribution of quadratic forms in normal variables
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+Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices
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+Series Representations of Distributions of Quadratic Forms in Normal Variables. I. Central Case
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+On the distribution of the trace of a noncentral Wishart matrix
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+A new chi-square approximation to the distribution of non-negative definite quadratic forms in non-central normal variables
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+On strong solutions for positive definite jump diffusions
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+Computing integrals involving the matrix exponential
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+Trace bounds on the solution of the algebraic matrix Riccati and Lyapunov equation
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+Exponential Operators and Parameter Differentiation in Quantum Physics
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