Wishart processes
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- 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
- 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
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- Explosion time for some Laplace transforms of the Wishart process
- Semi-implicit Euler-Maruyama approximation for noncolliding particle systems
- Limit theorems for multivariate Bessel processes in the freezing regime
- Neutral and indifference pricing with stochastic correlation and volatility
- Gaussian free fields coupled with multiple SLEs driven by stochastic log-gases
- Maximum principles for boundary-degenerate second order linear elliptic differential operators
- Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps
- On the application of Wishart process to the pricing of equity derivatives: the multi-asset case
- A perturbation analysis of stochastic matrix Riccati diffusions
- Beta Laguerre processes in a high temperature regime
- On regularity properties of Bessel flow
- Short-run risk, business cycle, and the value premium
- Three-parametric Marcenko-Pastur density
- Partial differential equation pricing of contingent claims under stochastic correlation
- Functional equations solving initial-value problems of complex Burgers-type equations for one-dimensional log-gases
- Universality classes for general random matrix flows
- Interlacing diffusions
- Conformal welding problem, flow line problem, and multiple Schramm-Loewner evolution
- European option pricing under Wishart processes
- Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
- Phase transitions for products of characteristic polynomials under Dyson Brownian motion
- A characterization of Wishart processes and Wishart distributions
- Limit theorems and soft edge of freezing random matrix models via dual orthogonal polynomials
- MSE bounds for estimators of matrix functions
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
- Matrix Dirichlet processes
- A spectral dominance approach to large random matrices
- Dunkl jump processes: relaxation and a phase transition
- Geometric ergodicity of the multivariate COGARCH(1,1) process
- Asymptotic behaviour of linear eigenvalue statistics of Hankel matrices
- A consistent stochastic model of the term structure of interest rates for multiple tenors
- On Poincaré and Logarithmic Sobolev Inequalities for a Class of Singular Gibbs Measures
- A matrix Bougerol identity and the Hua-Pickrell measures
- Real-world pricing for a modified constant elasticity of variance model
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- On the stability of matrix-valued Riccati diffusions
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- On the process of the eigenvalues of a Hermitian Lévy process
- Two-step asymptotics of scaled Dunkl processes
- A closed-form solution for outperformance options with stochastic correlation and stochastic volatility
- Linearized filtering of affine processes using stochastic Riccati equations
- The log-asset dynamic with Euler-Maruyama scheme under Wishart processes
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- On squared Bessel particle systems
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- Pricing range notes within Wishart affine models
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- High dimensional normality of noisy eigenvectors
- Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications
- Central limit theorems for multivariate Bessel processes in the freezing regime
- Free Wishart processes
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- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
- Affine processes on positive semidefinite \(d \times d\) matrices have jumps of finite variation in dimension \(d > 1\)
- Elliptic determinantal process of type A
- Infinitely divisible Wald's couples. Examples linked with the Euler gamma and the Riemann zeta functions.
- Affine processes on positive semidefinite matrices
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- Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
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- WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK
- Matrix Dufresne identities
- Some new examples of Markov processes which enjoy the time-inversion property
- The Wishart autoregressive process of multivariate stochastic volatility
- A general HJM framework for multiple yield curve modelling
- Option pricing when correlations are stochastic: an analytical framework
- Long-time large deviations for the multiasset Wishart stochastic volatility model and option pricing
- Towards a characterization of Markov processes enjoying the time-inversion property
- On the Heston model with stochastic correlation
- scientific article; zbMATH DE number 4090489 (Why is no real title available?)
- Affine processes on symmetric cones
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
- A fractionally integrated Wishart stochastic volatility model
- Determinantal martingales and noncolliding diffusion processes
- Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
- The Moments of Wishart Processes via Itô Calculus
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
- Hedging (co)variance risk with variance swaps
- Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
- Multidimensional Yamada-Watanabe theorem and its applications to particle systems
- Discrete time Wishart term structure models
- Stochastic volatility and stochastic leverage
- Density approximations for multivariate affine jump-diffusion processes
- Noncolliding squared Bessel processes
- Exact and high-order discretization schemes for Wishart processes and their affine extensions
- Moderate deviations and central limit theorem for small perturbation Wishart processes
- Gaussian fluctuation for Gaussian Wishart matrices of overall correlation
- Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws
- Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems
- Ergodic decomposition for inverse Wishart measures on infinite positive-definite matrices
- Algorithm 963: Estimation of stochastic covariance models using a continuum of moment conditions
- Free Jacobi process
- Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?
- The Wishart short rate model
- Indirect inference in fractional short-term interest rate diffusions
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