Affine processes on positive semidefinite matrices

DOI10.1214/10-AAP710zbMath1219.60068arXiv0910.0137OpenAlexW3126049948MaRDI QIDQ535197

Christa Cuchiero, Eberhard Mayerhofer, Damir Filipović, Josef Teichmann

Publication date: 11 May 2011

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

Full work available at URL: https://arxiv.org/abs/0910.0137

zbMATH Keywords

stochastic volatility stochastic invariance affine processes Wishart processes cone of positive semidefinite symmetric matrices

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

Related Items (72)

Affine realizations with affine state processes for stochastic partial differential equations ⋮ Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates ⋮ A general HJM framework for multiple yield curve modelling ⋮ Backward SDE representation for stochastic control problems with nondominated controlled intensity ⋮ Affine processes on symmetric cones ⋮ The role of the dependence between mortality and interest rates when pricing guaranteed annuity options ⋮ Affine Diffusions with Non-Canonical State Space ⋮ On non-negative modeling with CARMA processes ⋮ Inhomogeneous affine Volterra processes ⋮ On moment non-explosions for Wishart-based stochastic volatility models ⋮ Maximum likelihood estimation for Wishart processes ⋮ On a gateway between the Laguerre process and dynamics on partitions ⋮ Affine pure-jump processes on positive Hilbert-Schmidt operators ⋮ The Gärtner-Ellis Theorem, Homogenization, and Affine Processes ⋮ Optimal portfolios when variances and covariances can jump ⋮ The Explicit Laplace Transform for the Wishart Process ⋮ Geometric ergodicity of the multivariate COGARCH(1,1) process ⋮ Bond pricing formulas for Markov-modulated affine term structure models ⋮ A perturbation analysis of stochastic matrix Riccati diffusions ⋮ Geometric ergodicity of affine processes on cones ⋮ Weak symmetries of stochastic differential equations driven by semimartingales with jumps ⋮ Boundary estimates for a degenerate parabolic equation with partial Dirichlet boundary conditions ⋮ The Laplace transform of the integrated Volterra Wishart process ⋮ An infinite‐dimensional affine stochastic volatility model ⋮ Affine representations of fractional processes with applications in mathematical finance ⋮ Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models ⋮ A consistent stochastic model of the term structure of interest rates for multiple tenors ⋮ Multivariate continuous-time autoregressive moving-average processes on cones ⋮ Existence of densities for multi-type continuous-state branching processes with immigration ⋮ Affine Volterra processes with jumps ⋮ Pricing guaranteed annuity options in a linear-rational Wishart mortality model ⋮ Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions ⋮ Exact and high-order discretization schemes for Wishart processes and their affine extensions ⋮ Affine processes on positive semidefinite \(d \times d\) matrices have jumps of finite variation in dimension \(d > 1\) ⋮ Density approximations for multivariate affine jump-diffusion processes ⋮ Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices ⋮ Matrix Poincaré, Φ-Sobolev inequalities, and quantum ensembles ⋮ Time-changed CIR default intensities with two-sided mean-reverting jumps ⋮ Fourier transform methods for pathwise covariance estimation in the presence of jumps ⋮ Infinite dimensional affine processes ⋮ On Wishart and noncentral Wishart distributions on symmetric cones ⋮ Picard iterations for diffusions on symmetric matrices ⋮ A characterization of Wishart processes and Wishart distributions ⋮ THE WISHART SHORT RATE MODEL ⋮ Affine processes with compact state space ⋮ SIMPLE SIMULATION SCHEMES FOR CIR AND WISHART PROCESSES ⋮ Stochastic invariance of closed sets with non-Lipschitz coefficients ⋮ Explosion time for some Laplace transforms of the Wishart process ⋮ On strong solutions for positive definite jump diffusions ⋮ Affine Variance Swap Curve Models ⋮ Maximum Principles for Boundary-Degenerate Second Order Linear Elliptic Differential Operators ⋮ Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case ⋮ On the stability of matrix-valued Riccati diffusions ⋮ Long-term yield in an affine HJM framework on \(S_{d}^{+}\) ⋮ Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models ⋮ Affine Volterra processes ⋮ Pricing range notes within Wishart affine models ⋮ Linearized filtering of affine processes using stochastic Riccati equations ⋮ Markovian lifts of positive semidefinite affine Volterra-type processes ⋮ Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing ⋮ Affine processes beyond stochastic continuity ⋮ Regime switching affine processes with applications to finance ⋮ Calibration and advanced simulation schemes for the Wishart stochastic volatility model ⋮ Existence of limiting distribution for affine processes ⋮ Markov-modulated affine processes ⋮ General closed-form basket option pricing bounds ⋮ Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices ⋮ Exponential moments of affine processes ⋮ Exotic one-parameter semigroups of endomorphisms of a symmetric cone ⋮ Riding on the smiles ⋮ Unified signature cumulants and generalized Magnus expansions ⋮ A unified approach to pricing and risk management of equity and credit risk

Cites Work

This page was built for publication: Affine processes on positive semidefinite matrices