Discrete time Wishart term structure models
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Publication:543795
DOI10.1016/J.JEDC.2011.01.007zbMATH Open1231.91455OpenAlexW2073311570MaRDI QIDQ543795FDOQ543795
Authors: R. Sufana, Christian Gouriéroux 
Publication date: 17 June 2011
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2011.01.007
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Cited In (24)
- LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
- The Wishart autoregressive process of multivariate stochastic volatility
- Bilinear term structure model
- The explicit Laplace transform for the Wishart process
- Continuous Time Wishart Process for Stochastic Risk
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
- Affine processes on positive semidefinite matrices
- Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
- SIMPLE SIMULATION SCHEMES FOR CIR AND WISHART PROCESSES
- On strong solutions for positive definite jump diffusions
- Domain restrictions on interest rates implied by no arbitrage
- Maximum likelihood estimation for Wishart processes
- Optimal Portfolios for Financial Markets with Wishart Volatility
- Term structure modelling for multiple curves with stochastic discontinuities
- Option pricing when correlations are stochastic: an analytical framework
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
- Explosion time for some Laplace transforms of the Wishart process
- Affine Diffusions with Non-Canonical State Space
- A quadratic Kalman filter
- Stochastic Jacobian and Riccati ODE in affine term structure models
- SOLVABLE AFFINE TERM STRUCTURE MODELS
- A consistent stochastic model of the term structure of interest rates for multiple tenors
- Exact and high-order discretization schemes for Wishart processes and their affine extensions
- Pricing range notes within Wishart affine models
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