Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices

DOI10.1016/j.spa.2013.02.011zbMath1338.60191arXiv1309.0557OpenAlexW1981482972MaRDI QIDQ2444649

Chulmin Kang, Wanmo Kang, Jong Mun Lee

Publication date: 10 April 2014

Published in: Stochastic Processes and their Applications, Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.0557

zbMATH Keywords

stochastic volatilitylinear functionalspositive semidefinite matricesexact simulationMonte-Carlo methodaffine Markov processesWishart processestransform formulae

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Continuous-time Markov processes on general state spaces (60J25) Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Local time and additive functionals (60J55)

Related Items (12)

The role of the dependence between mortality and interest rates when pricing guaranteed annuity options ⋮ The Explicit Laplace Transform for the Wishart Process ⋮ Reducing Bias in Event Time Simulations via Measure Changes ⋮ Modeling the Risk in Mortality Projections ⋮ Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps ⋮ Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model ⋮ Picard iterations for diffusions on symmetric matrices ⋮ European option pricing under Wishart processes ⋮ Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations ⋮ Efficient simulation of Lévy-driven point processes ⋮ The log-asset dynamic with Euler-Maruyama scheme under Wishart processes ⋮ Calibration and advanced simulation schemes for the Wishart stochastic volatility model

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