Explosion time for some Laplace transforms of the Wishart process-Reference-Cited by-同舟云学术

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Explosion time for some Laplace transforms of the Wishart process

Published:2019-01-02 Issue:1 Volume:35 Page:89-104
ISSN:1532-6349
Container-title:Stochastic Models
language:en
Short-container-title:Stochastic Models

Author:

Deelstra Griselda¹,Grasselli Martino²³^ORCID,Van Weverberg Christopher¹

Affiliation:

1. Department of Mathematics, Université Libre de Bruxelles, Bruxelles, Belgium;

2. Dipartimento di Matematica, Università Degli Studi di Padova, Padova, Italy;

3. Devinci Research Center, Finance Group, Léonard de Vinci Pôle Universitaire, Paris, France

Funder

ARC

Publisher

Informa UK Limited

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/15326349.2019.1578237

Reference32 articles.

1. Exact and high-order discretization schemes for Wishart processes and their affine extensions

2. Maximum likelihood estimation for Wishart processes

3. Moment explosions in stochastic volatility models

4. Wishart processes

5. Pricing range notes within Wishart affine models

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