Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices (Q2444649)
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scientific article; zbMATH DE number 6818957
- Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model
| Language | Label | Description | Also known as |
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| English | Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices |
scientific article; zbMATH DE number 6818957 |
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Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices (English)
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Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model (English)
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10 April 2014
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15 December 2017
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affine Markov processes
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Wishart processes
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linear functionals
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transform formulae
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positive semidefinite matrices
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stochastic volatility
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Monte-Carlo method
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exact simulation
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0.9167266
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0.9141077
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0.91249067
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0.9123922
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0.89553666
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0.8910922
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0.8878522
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0.88742316
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