Pages that link to "Item:Q5485103"

The following pages link to Continuous Time Wishart Process for Stochastic Risk (Q5485103):

Displaying 50 items.

• Order estimates for the exact Lugannani-Rice expansion (Q263055) (← links)
• The Wishart autoregressive process of multivariate stochastic volatility (Q302185) (← links)
• The structure of dynamic correlations in multivariate stochastic volatility models (Q302187) (← links)
• Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
• Stochastic covariance and dimension reduction in the pricing of basket options (Q345719) (← links)
• Stochastic volatility and stochastic leverage (Q470516) (← links)
• Discrete time Wishart term structure models (Q543795) (← links)
• Multivariate COGARCH(1, 1) processes (Q605037) (← links)
• Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (Q722068) (← links)
• Estimating the Wishart affine stochastic correlation model using the empirical characteristic function (Q905380) (← links)
• Quadratic stochastic intensity and prospective mortality tables (Q938051) (← links)
• Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps (Q1627817) (← links)
• On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option (Q1713193) (← links)
• Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications (Q1999688) (← links)
• Recent advances on eigenvalues of matrix-valued stochastic processes (Q2062789) (← links)
• The log-asset dynamic with Euler-Maruyama scheme under Wishart processes (Q2068271) (← links)
• Option pricing under two-factor stochastic volatility jump-diffusion model (Q2210266) (← links)
• European option pricing under Wishart processes (Q2240201) (← links)
• The multivariate mixture dynamics model: shifted dynamics and correlation skew (Q2241131) (← links)
• Mean-variance portfolio selection with correlation risk (Q2252429) (← links)
• Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate (Q2325143) (← links)
• Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (Q2347718) (← links)
• Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices (Q2444649) (← links)
• Mean-variance asset-liability management with asset correlation risk and insurance liabilities (Q2514629) (← links)
• On non-negative modeling with CARMA processes (Q2633848) (← links)
• High-dimensional limits of eigenvalue distributions for general Wishart process (Q2657920) (← links)
• Fourier inversion formulas for multiple-asset option pricing (Q2687888) (← links)
• Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model (Q2804505) (← links)
• Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion (Q2813080) (← links)
• The Explicit Laplace Transform for the Wishart Process (Q2923426) (← links)
• Multi-variate stochastic volatility modelling using Wishart autoregressive processes (Q2930900) (← links)
• LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS (Q2970316) (← links)
• BILINEAR TERM STRUCTURE MODEL (Q3069955) (← links)
• DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE (Q3084600) (← links)
• MULTIVARIATE ECOGARCH PROCESSES (Q3168874) (← links)
• A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING (Q3225031) (← links)
• Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance (Q4586037) (← links)
• On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions (Q5055127) (← links)
• Pricing multi-asset American option under Heston-CIR diffusion model with jumps (Q5082773) (← links)
• A stochastic volatility factor model of heston type. Statistical properties and estimation (Q5085832) (← links)
• American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis (Q5107393) (← links)
• VIX VERSUS VXX: A JOINT ANALYTICAL FRAMEWORK (Q5147999) (← links)
• Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing (Q5215986) (← links)
• Algorithm 963 (Q5270763) (← links)
• Long-Term Optimal Investment in Matrix Valued Factor Models (Q5280243) (← links)
• Two asset-barrier option under stochastic volatility (Q5373915) (← links)
• Pricing of mountain range derivatives under a principal component stochastic volatility model (Q5414524) (← links)
• Multivariate Stochastic Volatility: A Review (Q5485102) (← links)
• A fractionally integrated Wishart stochastic volatility model (Q5864454) (← links)
• Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate (Q6550279) (← links)