The Laplace transform of the integrated Volterra Wishart process
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Publication:6054411
DOI10.1111/mafi.12334zbMath1522.91254arXiv1911.07719OpenAlexW3193245575MaRDI QIDQ6054411
Publication date: 28 September 2023
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1911.07719
Gaussian processesWishart processesFredholm's determinantrough volatility modelsquadratic short rate models
Gaussian processes (60G15) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)
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