Derivative Pricing With Wishart Multivariate Stochastic Volatility

DOI10.1198/jbes.2009.08105zbMath1209.91179MaRDI QIDQ5392719

Christian Gouriéroux, Razvan Sufana

Publication date: 13 April 2011

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jbes.2009.08105

zbMATH Keywords

stochastic volatility; credit risk; derivative pricing; credit default swap; Wishart process

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

91G40: Credit risk

Related Items

Optimal Portfolios for Financial Markets with Wishart Volatility, Continuous Time Wishart Process for Stochastic Risk, Minimax estimation for mixtures of Wishart distributions, Affine processes on positive semidefinite matrices, Discrete time Wishart term structure models, On strong solutions for positive definite jump diffusions, A stochastic correlation model with mean reversion for pricing multi-asset options, Linearization of a matrix Riccati equation associated to an optimal control problem, Mean-variance portfolio selection with correlation risk, Option pricing when correlations are stochastic: an analytical framework, Pricing range notes within Wishart affine models, Mean-variance asset-liability management with asset correlation risk and insurance liabilities, Riding on the smiles, The Explicit Laplace Transform for the Wishart Process, HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS