Explosion time for some Laplace transforms of the Wishart process
From MaRDI portal
Publication:5742577
DOI10.1080/15326349.2019.1578237zbMath1478.60218OpenAlexW2922370921MaRDI QIDQ5742577
Griselda Deelstra, Christopher Van Weverberg, Martino Grasselli
Publication date: 15 May 2019
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/286918/3/Explosion_time_DGVW.pdf
Cites Work
- Unnamed Item
- The Wishart autoregressive process of multivariate stochastic volatility
- Commodity derivatives pricing with cointegration and stochastic covariances
- On moment non-explosions for Wishart-based stochastic volatility models
- Maximum likelihood estimation for Wishart processes
- Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions
- Affine processes on positive semidefinite matrices
- Discrete time Wishart term structure models
- Über Eigenwerte von Produkten Hermitescher Matrizen
- Mathematical methods for financial markets.
- Wishart processes
- Exact and high-order discretization schemes for Wishart processes and their affine extensions
- Exponential moments of affine processes
- Option pricing when correlations are stochastic: an analytical framework
- Mortality surface by means of continuous time cohort models
- Moment explosions in stochastic volatility models
- Pricing range notes within Wishart affine models
- A Theory of the Term Structure of Interest Rates
- The Explicit Laplace Transform for the Wishart Process
- MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
- SOLVABLE AFFINE TERM STRUCTURE MODELS
- A multifactor volatility Heston model
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
- Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems
- THE WISHART SHORT RATE MODEL
- MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Derivative Pricing With Wishart Multivariate Stochastic Volatility
- On a Matrix Riccati Equation of Stochastic Control
This page was built for publication: Explosion time for some Laplace transforms of the Wishart process
