Discrete time Wishart term structure models

DOI10.1016/J.JEDC.2011.01.007MaRDI QIDQ543795zbMATH OpenOpenAlexFDO

Authors R. Sufana, Christian Gouriéroux

Publication date 17 June 2011

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2011.01.007

zbMATH Keywords

Wishart processaffine processaffine term structureCAR processquadratic term structure

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(25)

• Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
• A quadratic Kalman filter
• Affine processes on positive semidefinite matrices
• Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
• Explosion time for some Laplace transforms of the Wishart process
• The Wishart autoregressive process of multivariate stochastic volatility
• Option pricing when correlations are stochastic: an analytical framework
• Affine diffusions with non-canonical state space
• Domain restrictions on interest rates implied by no arbitrage
• Stochastic Jacobian and Riccati ODE in affine term structure models
• SOLVABLE AFFINE TERM STRUCTURE MODELS
• Exact and high-order discretization schemes for Wishart processes and their affine extensions
• Continuous Time Wishart Process for Stochastic Risk
• The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
• Term structure modelling for multiple curves with stochastic discontinuities
• Bilinear term structure model
• A consistent stochastic model of the term structure of interest rates for multiple tenors
• Simple simulation schemes for CIR and Wishart processes
• The Wishart short rate model
• Maximum likelihood estimation for Wishart processes
• Optimal portfolios for financial markets with Wishart volatility
• Pricing range notes within Wishart affine models
• On strong solutions for positive definite jump diffusions
• The explicit Laplace transform for the Wishart process
• LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING

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