Wishart processes
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Cites work
- A characterization of the Wishart exponential families by an invariance property
- A decomposition of Bessel Bridges
- Bessel diffusions as a one-parameter family of diffusion processes
- Brownian Motions of Ellipsoids
- Diffusions of perturbed principal component analysis
- Discrete and continuous boundary problems
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- Inequalities: theory of majorization and its applications
- Invariant generalized functions in homogeneous domains
- Multivariate calculation. Use of the continuous groups
- Shape Manifolds, Procrustean Metrics, and Complex Projective Spaces
Cited in
(only showing first 100 items - show all)- Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
- Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps
- Neutral and indifference pricing with stochastic correlation and volatility
- Central limit theorems for multivariate Bessel processes in the freezing regime
- On squared Bessel particle systems
- A characterization of Wishart processes and Wishart distributions
- A matrix Bougerol identity and the Hua-Pickrell measures
- Some new examples of Markov processes which enjoy the time-inversion property
- Free Wishart processes
- Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
- Exact and high-order discretization schemes for Wishart processes and their affine extensions
- Three-parametric Marcenko-Pastur density
- Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications
- Limit theorems for multivariate Bessel processes in the freezing regime
- Phase transitions for products of characteristic polynomials under Dyson Brownian motion
- Beta Laguerre processes in a high temperature regime
- High-dimensional central limit theorems for a class of particle systems
- On the application of Wishart process to the pricing of equity derivatives: the multi-asset case
- Recent advances on eigenvalues of matrix-valued stochastic processes
- The log-asset dynamic with Euler-Maruyama scheme under Wishart processes
- Gaussian fluctuation for Gaussian Wishart matrices of overall correlation
- Asymptotic behaviour of linear eigenvalue statistics of Hankel matrices
- High dimensional normality of noisy eigenvectors
- Gaussian free fields coupled with multiple SLEs driven by stochastic log-gases
- A spectral dominance approach to large random matrices
- Universality classes for general random matrix flows
- Functional equations solving initial-value problems of complex Burgers-type equations for one-dimensional log-gases
- A perturbation analysis of stochastic matrix Riccati diffusions
- Geometric ergodicity of affine processes on cones
- A consistent stochastic model of the term structure of interest rates for multiple tenors
- Semi-implicit Euler-Maruyama approximation for noncolliding particle systems
- MSE bounds for estimators of matrix functions
- Indirect inference in fractional short-term interest rate diffusions
- European option pricing under Wishart processes
- Short-run risk, business cycle, and the value premium
- Mean-variance portfolio selection with correlation risk
- Moderate deviations and central limit theorem for small perturbation Wishart processes
- On the stability of matrix-valued Riccati diffusions
- Linearized filtering of affine processes using stochastic Riccati equations
- Markovian lifts of positive semidefinite affine Volterra-type processes
- Matrix Dirichlet processes
- Semi-implicit Milstein approximation scheme for non-colliding particle systems
- Ergodic decomposition for inverse Wishart measures on infinite positive-definite matrices
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
- A closed-form solution for outperformance options with stochastic correlation and stochastic volatility
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
- Option pricing when correlations are stochastic: an analytical framework
- Density approximations for multivariate affine jump-diffusion processes
- The Laguerre process and generalized Hartman-Watson law
- Towards a characterization of Markov processes enjoying the time-inversion property
- Free Jacobi process
- Infinitely divisible Wald's couples. Examples linked with the Euler gamma and the Riemann zeta functions.
- Pricing range notes within Wishart affine models
- Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- Matrix-valued Bessel processes
- Order estimates for the exact Lugannani-Rice expansion
- On non-negative modeling with CARMA processes
- Strong solutions to a beta-Wishart particle system
- Asset prices with investor protection and past information
- On the singular values of complex matrix Brownian motion with a matrix drift
- On the Heston model with stochastic correlation
- Riding on the smiles
- A general HJM framework for multiple yield curve modelling
- Random walks in ( Z_+)^2 with non-zero drift absorbed at the axes
- The explicit Laplace transform for the Wishart process
- Multi-variate stochastic volatility modelling using Wishart autoregressive processes
- Bayesian non-parametrics and the probabilistic approach to modelling
- On the process of the eigenvalues of a Hermitian Lévy process
- Affine processes on symmetric cones
- The Wishart autoregressive process of multivariate stochastic volatility
- Risk management under a factor stochastic volatility model
- Hedging (co)variance risk with variance swaps
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
- Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?
- Commodity derivatives pricing with cointegration and stochastic covariances
- On moment non-explosions for Wishart-based stochastic volatility models
- Maximum likelihood estimation for Wishart processes
- On the non-commutative fractional Wishart process
- Two-step asymptotics of scaled Dunkl processes
- A multifactor volatility Heston model
- Real-world pricing for a modified constant elasticity of variance model
- On regularity properties of Bessel flow
- scientific article; zbMATH DE number 4090489 (Why is no real title available?)
- Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
- Determinantal martingales and noncolliding diffusion processes
- Affine processes on positive semidefinite \(d \times d\) matrices have jumps of finite variation in dimension \(d > 1\)
- Quanto pricing in stochastic correlation models
- Partial differential equation pricing of contingent claims under stochastic correlation
- The Heston stochastic volatility model in Hilbert space
- Stochastic volatility and stochastic leverage
- Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems
- WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK
- The Wishart short rate model
- Elliptic determinantal process of type A
- Limit theorems and soft edge of freezing random matrix models via dual orthogonal polynomials
- Markowitz portfolio selection for multivariate affine and quadratic Volterra models
- Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
- Eigenvalue processes of elliptic Ginibre ensemble and their overlaps
- Picard iterations for diffusions on symmetric matrices
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