scientific article; zbMATH DE number 5635206

zbMATH Open1178.91223MaRDI QIDQ3645682FDOQ3645682

Authors Christian Gouriéroux 

Publication date 18 November 2009

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)

Recommendations

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Cited in

(5)

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

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