Search Results - subject:"Wishart processes"

The Laplace transform of the integrated Volterra Wishart process

Abi Jaber, Eduardo - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 309-348

Persistent link: https://www.econbiz.de/10012815963

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

Ahdida, Abdelkoddousse; Alfonsi, Aurélien - HAL - 2013

This work deals with the simulation of Wishart processes and affine diffusions on positive semidefinite matrices. To do … Victoir or Alfonsi. Doing so, we have found a remarkable splitting for Wishart processes that enables us to sample exactly … based on Bartlett's decomposition. Moreover, we can construct high-order discretization schemes for Wishart processes and …

Persistent link: https://www.econbiz.de/10010898676

Smile with the Gaussian term structure model

Ahdida, Abdelkoddousse; Alfonsi, Aurélien; Palidda, Ernesto - In: The journal of computational finance 21 (2017) 1, pp. 115-157

Persistent link: https://www.econbiz.de/10011691616

Exact simulation of the Wishart multidimensional stochastic volatility model

Kang, Chulmin; Kang, Wanmo; Lee, Jong Mun - In: Operations research 65 (2017) 5, pp. 1190-1206

Persistent link: https://www.econbiz.de/10011757326

Beta risk in the cross-section of equities

Boloorforoosh, Ali; Christoffersen, Peter F.; Fournier, … - 2017

We develop a conditional capital asset pricing model in continuous-time that allows for stochastic beta exposure. When beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The...

Persistent link: https://www.econbiz.de/10011646407

Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework

Benabid, Anas; Bensusan, Harry; Karoui, Nicole El - HAL - 2008

In this paper, a study of a stochastic volatility model for asset pricing is described. Originally presented by J. Da Fonseca, M. Grasselli and C. Tebaldi, the Wishart volatility model identifies the volatility of the asset as the trace of a Wishart process. Contrary to a classic multifactor...

Persistent link: https://www.econbiz.de/10008793719

Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models

Richter, Anja - In: Stochastic Processes and their Applications 124 (2014) 11, pp. 3578-3611

Over the past few years quadratic Backward Stochastic Differential Equations (BSDEs) have been a popular field of research. However there are only very few examples where explicit solutions for these equations are known. In this paper we consider a class of quadratic BSDEs involving affine...

Persistent link: https://www.econbiz.de/10011064995

Matrix-State Particle Filter for Wishart Stochastic Volatility Processes

Casarin, Roberto; Sartore, Domenico - Dipartimento di Economia, Università Ca' Foscari Venezia - 2007

stochastic representations of the Wishart process and propose Markov-Switching Wishart processes to capture different regimes in …

Persistent link: https://www.econbiz.de/10009643871

Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices

Kang, Chulmin; Kang, Wanmo - In: Stochastic Processes and their Applications 123 (2013) 6, pp. 2419-2445

In this paper, we derive transform formulae for linear functionals of affine processes and their bridges whose state space is the set of positive semidefinite d×d matrices. Particularly, we investigate the relationship between such transforms and certain integral equations. Our findings extend...

Persistent link: https://www.econbiz.de/10011064892

On the existence of non-central Wishart distributions

Mayerhofer, Eberhard - In: Journal of Multivariate Analysis 114 (2013) C, pp. 448-456

This paper deals with the existence issue of non-central Wishart distributions which is a research topic initiated by Wishart (1928), [10] and with important contributions by e.g., Lévy (1937) [7], Gindikin (1975) [4], Shanbhag (1988) [9], Peddada and Richards (1991) [8]. We present a new...

Persistent link: https://www.econbiz.de/10011042033