The Explicit Laplace Transform for the Wishart Process
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Publication:2923426
DOI10.1239/jap/1409932664zbMath1304.65008arXiv1107.2748OpenAlexW3123540654MaRDI QIDQ2923426
Alessandro Gnoatto, Martino Grasselli
Publication date: 15 October 2014
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1107.2748
Stochastic models in economics (91B70) Laplace transform (44A10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)
Related Items (10)
On moment non-explosions for Wishart-based stochastic volatility models ⋮ Maximum likelihood estimation for Wishart processes ⋮ The Laplace transform of the integrated Volterra Wishart process ⋮ Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices ⋮ Small-Time smile for the multifactor volatility heston model ⋮ Existence of optimal consumption strategies in markets with longevity risk ⋮ Optimal Portfolios for Financial Markets with Wishart Volatility ⋮ Explosion time for some Laplace transforms of the Wishart process ⋮ Long-term yield in an affine HJM framework on \(S_{d}^{+}\) ⋮ Calibration and advanced simulation schemes for the Wishart stochastic volatility model
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