Discrete time Wishart term structure models

DOI10.1016/j.jedc.2011.01.007zbMath1231.91455OpenAlexW2073311570MaRDI QIDQ543795

Razvan Sufana, Christian Gouriéroux

Publication date: 17 June 2011

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2011.01.007

zbMATH Keywords

Wishart processaffine processaffine term structureCAR processquadratic term structure

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (20)

The role of the dependence between mortality and interest rates when pricing guaranteed annuity options ⋮ The Wishart autoregressive process of multivariate stochastic volatility ⋮ Affine Diffusions with Non-Canonical State Space ⋮ Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes ⋮ Maximum likelihood estimation for Wishart processes ⋮ The Explicit Laplace Transform for the Wishart Process ⋮ SOLVABLE AFFINE TERM STRUCTURE MODELS ⋮ LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING ⋮ A consistent stochastic model of the term structure of interest rates for multiple tenors ⋮ Option pricing when correlations are stochastic: an analytical framework ⋮ Exact and high-order discretization schemes for Wishart processes and their affine extensions ⋮ A quadratic Kalman filter ⋮ Optimal Portfolios for Financial Markets with Wishart Volatility ⋮ SIMPLE SIMULATION SCHEMES FOR CIR AND WISHART PROCESSES ⋮ Affine processes on positive semidefinite matrices ⋮ Explosion time for some Laplace transforms of the Wishart process ⋮ On strong solutions for positive definite jump diffusions ⋮ Pricing range notes within Wishart affine models ⋮ DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE ⋮ Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices

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