Discrete time Wishart term structure models
From MaRDI portal
Recommendations
- Markovian term structure models in discrete time
- Discrete time term structure theory and consistent recalibration models
- DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST
- scientific article; zbMATH DE number 2042814
- Discrete-time continuous-state interest rate models
- Term structure modelling for multiple curves with stochastic discontinuities
- Discrete-time interest rate modelling
- scientific article; zbMATH DE number 953313
Cites work
- scientific article; zbMATH DE number 3886886 (Why is no real title available?)
- scientific article; zbMATH DE number 5635206 (Why is no real title available?)
- scientific article; zbMATH DE number 1350311 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- A Matrix Measure of Multivariate Local Risk Aversion
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A theory of the term structure of interest rates
- Affine processes and applications in finance
- An Intertemporal General Equilibrium Model of Asset Prices
- An equilibrium characterization of the term structure
- Consistency conditions for affine term structure models.
- Continuous Time Wishart Process for Stochastic Risk
- Derivative pricing with Wishart multivariate stochastic volatility
- Design and Estimation of Quadratic Term Structure Models *
- Domain restrictions on interest rates implied by no arbitrage
- Estimation of affine asset pricing models using the empirical characteristic function
- LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
- Moment generating function approach to pricing interest rate and foreign exchange rate claims.
- On Multivariate Risk Aversion
- Option pricing when correlations are stochastic: an analytical framework
- Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
- QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES
- Structural Laplace Transform and Compound Autoregressive Models
- The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
- The Wishart autoregressive process of multivariate stochastic volatility
- The surprise element: Jumps in interest rates.
- Wishart processes
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
This page was built for publication: Discrete time Wishart term structure models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q543795)