Pages that link to "Item:Q1950261"

The following pages link to Exact and high-order discretization schemes for Wishart processes and their affine extensions (Q1950261):

Displaying 13 items.

• Maximum likelihood estimation for Wishart processes (Q326826) (← links)
• Affine processes on positive semidefinite \(d \times d\) matrices have jumps of finite variation in dimension \(d > 1\) (Q449230) (← links)
• On strong solutions for positive definite jump diffusions (Q554460) (← links)
• Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (Q722068) (← links)
• On the application of Wishart process to the pricing of equity derivatives: the multi-asset case (Q2051154) (← links)
• The log-asset dynamic with Euler-Maruyama scheme under Wishart processes (Q2068271) (← links)
• A new class of multidimensional Wishart-based hybrid models (Q2145697) (← links)
• A perturbation analysis of stochastic matrix Riccati diffusions (Q2179615) (← links)
• European option pricing under Wishart processes (Q2240201) (← links)
• High order splitting schemes with complex timesteps and their application in mathematical finance (Q2252368) (← links)
• Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices (Q2444649) (← links)
• The Explicit Laplace Transform for the Wishart Process (Q2923426) (← links)
• On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter (Q3451723) (← links)