scientific article; zbMATH DE number 5635206

zbMATH Open1178.91223MaRDI QIDQ3645682FDOQ3645682

Authors: Christian Gouriéroux 

Publication date: 18 November 2009

Title of this publication is not available (Why is that?)

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zbMATH Keywords

option pricingautoregressive gamma processcompound autoregressive processWishart autoregressive process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cited In (5)

• Continuous Time Wishart Process for Stochastic Risk
• Discrete time Wishart term structure models
• Recent results in the theory and applications of CARMA processes
• CARMA\((p,q)\) generalized random processes
• Quadratic stochastic intensity and prospective mortality tables

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