Pages that link to "Item:Q5392719"
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The following pages link to Derivative Pricing With Wishart Multivariate Stochastic Volatility (Q5392719):
Displayed 49 items.
- The Wishart autoregressive process of multivariate stochastic volatility (Q302185) (← links)
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
- Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options? (Q315045) (← links)
- Commodity derivatives pricing with cointegration and stochastic covariances (Q319797) (← links)
- On moment non-explosions for Wishart-based stochastic volatility models (Q323428) (← links)
- Maximum likelihood estimation for Wishart processes (Q326826) (← links)
- Minimax estimation for mixtures of Wishart distributions (Q450011) (← links)
- Bond pricing under mixed generalized CIR model with mixed Wishart volatility process (Q515757) (← links)
- Affine processes on positive semidefinite matrices (Q535197) (← links)
- Discrete time Wishart term structure models (Q543795) (← links)
- On strong solutions for positive definite jump diffusions (Q554460) (← links)
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (Q722068) (← links)
- A stochastic correlation model with mean reversion for pricing multi-asset options (Q841855) (← links)
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function (Q905380) (← links)
- Neutral and indifference pricing with stochastic correlation and volatility (Q1716937) (← links)
- Integral transform methods in goodness-of-fit testing. II: The Wishart distributions (Q2027219) (← links)
- On the application of Wishart process to the pricing of equity derivatives: the multi-asset case (Q2051154) (← links)
- Recent advances on eigenvalues of matrix-valued stochastic processes (Q2062789) (← links)
- Geometric ergodicity of affine processes on cones (Q2182630) (← links)
- Option pricing under two-factor stochastic volatility jump-diffusion model (Q2210266) (← links)
- Indirect inference in fractional short-term interest rate diffusions (Q2227436) (← links)
- Linearization of a matrix Riccati equation associated to an optimal control problem (Q2247880) (← links)
- Mean-variance portfolio selection with correlation risk (Q2252429) (← links)
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (Q2347718) (← links)
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options (Q2374113) (← links)
- Option pricing when correlations are stochastic: an analytical framework (Q2425554) (← links)
- Pricing range notes within Wishart affine models (Q2513635) (← links)
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities (Q2514629) (← links)
- High-dimensional limits of eigenvalue distributions for general Wishart process (Q2657920) (← links)
- Fourier inversion formulas for multiple-asset option pricing (Q2687888) (← links)
- Causal relationships between inflation and inflation uncertainty (Q2697108) (← links)
- EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING (Q2831002) (← links)
- Riding on the smiles (Q2866376) (← links)
- The Explicit Laplace Transform for the Wishart Process (Q2923426) (← links)
- HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS (Q3100994) (← links)
- Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation (Q4600012) (← links)
- A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility (Q4628041) (← links)
- Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices (Q5005036) (← links)
- Small-Time smile for the multifactor volatility heston model (Q5139918) (← links)
- Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing (Q5215986) (← links)
- Algorithm 963 (Q5270763) (← links)
- EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE (Q5384679) (← links)
- Optimal Portfolios for Financial Markets with Wishart Volatility (Q5407025) (← links)
- Continuous Time Wishart Process for Stochastic Risk (Q5485103) (← links)
- Explosion time for some Laplace transforms of the Wishart process (Q5742577) (← links)
- A fractionally integrated Wishart stochastic volatility model (Q5864454) (← links)
- Utility Maximization in Multivariate Volterra Models (Q5886358) (← links)
- An infinite‐dimensional affine stochastic volatility model (Q6054429) (← links)
- Pricing guaranteed annuity options in a linear-rational Wishart mortality model (Q6199669) (← links)