Continuous Time Wishart Process for Stochastic Risk (Q5485103)
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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 |
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Continuous Time Wishart Process for Stochastic Risk (English)
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28 August 2006
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credit risk
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quadratic term structure
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stochastic volatility
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Ornstein-Uhlenbeck process
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conditional Laplace transform
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Riccati equation
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