The Explicit Laplace Transform for the Wishart Process (Q2923426)

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The Explicit Laplace Transform for the Wishart Process
scientific article

    Statements

    title
    The Explicit Laplace Transform for the Wishart Process (English)
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    author
    Alessandro Gnoatto
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    Martino Grasselli
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    publication date
    15 October 2014
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    zbMATH Keywords
    affine process
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    Wishart process
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    ordinary differential equation
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    Laplace transform
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    cites work
    Q4084284
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    Q5420974
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    Wishart processes
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    Riding on the smiles
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    Q4765643
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    Q4486034
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    Q4303982
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    Q4255599
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    Identifiers

    Mathematics Subject Classification ID
    65C30
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    60H35
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    91B70
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    44A10
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    60H20
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    zbMATH DE Number
    6356250
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    OpenAlex ID
    W3123540654
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    arXiv ID
    1107.2748
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