The Laplace transform of the integrated Volterra Wishart process

DOI10.1111/mafi.12334zbMath1522.91254arXiv1911.07719OpenAlexW3193245575MaRDI QIDQ6054411

Eduardo Abi Jaber

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.07719

zbMATH Keywords

Gaussian processesWishart processesFredholm's determinantrough volatility modelsquadratic short rate models

Mathematics Subject Classification ID

Gaussian processes (60G15) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

Related Items (3)

Utility Maximization in Multivariate Volterra Models ⋮ The characteristic function of Gaussian stochastic volatility models: an analytic expression ⋮ Volterra square-root process: stationarity and regularity of the law

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