Exact and high-order discretization schemes for Wishart processes and their affine extensions

DOI10.1214/12-AAP863zbMath1269.65003arXiv1006.2281OpenAlexW3102082312MaRDI QIDQ1950261

Abdelkoddousse Ahdida, Aurélien Alfonsi

Publication date: 10 May 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1006.2281

zbMATH Keywords

stochastic differential equationexact simulationBrownian motionsaffine processesWishart processesCox-Ingersoll-Ross processdiscretization schemesWishart distributionsBartlett's decomposition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Brownian motion (60J65) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (18)

On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter ⋮ A new class of multidimensional Wishart-based hybrid models ⋮ Maximum likelihood estimation for Wishart processes ⋮ The Explicit Laplace Transform for the Wishart Process ⋮ A perturbation analysis of stochastic matrix Riccati diffusions ⋮ Affine processes on positive semidefinite \(d \times d\) matrices have jumps of finite variation in dimension \(d > 1\) ⋮ Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices ⋮ European option pricing under Wishart processes ⋮ SIMPLE SIMULATION SCHEMES FOR CIR AND WISHART PROCESSES ⋮ High order splitting schemes with complex timesteps and their application in mathematical finance ⋮ Explosion time for some Laplace transforms of the Wishart process ⋮ On strong solutions for positive definite jump diffusions ⋮ Maximum Principles for Boundary-Degenerate Second Order Linear Elliptic Differential Operators ⋮ Long-term yield in an affine HJM framework on \(S_{d}^{+}\) ⋮ Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing ⋮ On the application of Wishart process to the pricing of equity derivatives: the multi-asset case ⋮ The log-asset dynamic with Euler-Maruyama scheme under Wishart processes ⋮ Calibration and advanced simulation schemes for the Wishart stochastic volatility model

Uses Software

• AS 53

Cites Work

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