The following pages link to Wishart processes (Q1181413):
Displaying 50 items.
- Order estimates for the exact Lugannani-Rice expansion (Q263055) (← links)
- A general HJM framework for multiple yield curve modelling (Q287657) (← links)
- Affine processes on symmetric cones (Q300276) (← links)
- The Wishart autoregressive process of multivariate stochastic volatility (Q302185) (← links)
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
- Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options? (Q315045) (← links)
- Commodity derivatives pricing with cointegration and stochastic covariances (Q319797) (← links)
- On moment non-explosions for Wishart-based stochastic volatility models (Q323428) (← links)
- Maximum likelihood estimation for Wishart processes (Q326826) (← links)
- On the non-commutative fractional Wishart process (Q333124) (← links)
- Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585) (← links)
- Determinantal martingales and noncolliding diffusion processes (Q404593) (← links)
- Affine processes on positive semidefinite \(d \times d\) matrices have jumps of finite variation in dimension \(d > 1\) (Q449230) (← links)
- Stochastic volatility and stochastic leverage (Q470516) (← links)
- Elliptic determinantal process of type A (Q495554) (← links)
- Picard iterations for diffusions on symmetric matrices (Q501822) (← links)
- Bond pricing under mixed generalized CIR model with mixed Wishart volatility process (Q515757) (← links)
- Cleaning large correlation matrices: tools from random matrix theory (Q521794) (← links)
- Affine processes on positive semidefinite matrices (Q535197) (← links)
- Discrete time Wishart term structure models (Q543795) (← links)
- Analysis of market weights under volatility-stabilized market models (Q549872) (← links)
- On strong solutions for positive definite jump diffusions (Q554460) (← links)
- Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws (Q558624) (← links)
- Multivariate COGARCH(1, 1) processes (Q605037) (← links)
- Noncolliding squared Bessel processes (Q628677) (← links)
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (Q722068) (← links)
- On the eigenvalue process of a matrix fractional Brownian motion (Q744247) (← links)
- Bessel convolutions on matrix cones: Algebraic properties and random walks (Q842399) (← links)
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function (Q905380) (← links)
- Orbit measures, random matrix theory and interlaced determinantal processes (Q974776) (← links)
- Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like (Q1624494) (← links)
- Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps (Q1627817) (← links)
- Neutral and indifference pricing with stochastic correlation and volatility (Q1716937) (← links)
- Central limit theorems for multivariate Bessel processes in the freezing regime (Q1717631) (← links)
- On squared Bessel particle systems (Q1740510) (← links)
- A characterization of Wishart processes and Wishart distributions (Q1743347) (← links)
- A matrix Bougerol identity and the Hua-Pickrell measures (Q1748555) (← links)
- Some new examples of Markov processes which enjoy the time-inversion property (Q1775523) (← links)
- Free Wishart processes (Q1780932) (← links)
- Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models (Q1785445) (← links)
- Exact and high-order discretization schemes for Wishart processes and their affine extensions (Q1950261) (← links)
- Three-parametric Marcenko-Pastur density (Q1986096) (← links)
- Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications (Q1999688) (← links)
- Limit theorems for multivariate Bessel processes in the freezing regime (Q2010500) (← links)
- Phase transitions for products of characteristic polynomials under Dyson Brownian motion (Q2025275) (← links)
- Beta Laguerre processes in a high temperature regime (Q2029785) (← links)
- High-dimensional central limit theorems for a class of particle systems (Q2042816) (← links)
- On the application of Wishart process to the pricing of equity derivatives: the multi-asset case (Q2051154) (← links)
- Recent advances on eigenvalues of matrix-valued stochastic processes (Q2062789) (← links)
- The log-asset dynamic with Euler-Maruyama scheme under Wishart processes (Q2068271) (← links)
