Markovian lifts of positive semidefinite affine Volterra-typeprocesses
Christa Cuchiero, Josef Teichmann
| Year of publication: |
2019
|
|---|---|
| Authors: | Cuchiero, Christa ; Teichmann, Josef |
| Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 42.2019, 2, p. 407-448
|
| Subject: | Stochastic partial differential equations | Affine processes | Wishartprocesses | Hawkes processes | Stochastic Volterra processes | Rough volatilitymodels | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Analysis | Mathematical analysis | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-019-00268-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012127229