THE WISHART SHORT RATE MODEL
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Publication:4909141
DOI10.1142/S0219024912500562zbMath1260.91247arXiv1203.5513OpenAlexW3125091590MaRDI QIDQ4909141
Publication date: 12 March 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1203.5513
Related Items (12)
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates ⋮ The role of the dependence between mortality and interest rates when pricing guaranteed annuity options ⋮ Maximum likelihood estimation for Wishart processes ⋮ The Explicit Laplace Transform for the Wishart Process ⋮ High-dimensional limits of eigenvalue distributions for general Wishart process ⋮ COHERENT FOREIGN EXCHANGE MARKET MODELS ⋮ SIMPLE SIMULATION SCHEMES FOR CIR AND WISHART PROCESSES ⋮ Explosion time for some Laplace transforms of the Wishart process ⋮ Long-term yield in an affine HJM framework on \(S_{d}^{+}\) ⋮ Pricing range notes within Wishart affine models ⋮ Recent advances on eigenvalues of matrix-valued stochastic processes ⋮ Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
Cites Work
- Affine processes on positive semidefinite matrices
- On strong solutions for positive definite jump diffusions
- On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
- Multivariate supOU processes
- Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
- Wishart processes
- Option pricing when correlations are stochastic: an analytical framework
- HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS
- SOLVABLE AFFINE TERM STRUCTURE MODELS
- A multifactor volatility Heston model
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Option Pricing in Multivariate Stochastic Volatility Models of OU Type
- Arbitrage Theory in Continuous Time
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