We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral which extends the original approach of Bru. We compare our methodology with the alternative results given by the variation of constants method, the linearization of the Matrix Riccati...

We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to reproduce consistently typical multi-dimensional FX vanilla markets, while retaining the (semi)-analytical tractability typical of affine models and relying on a reasonable number of parameters. A...

We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral which extends the original approach of Bru (1991). We compare our methodology with the alternative results given by the variation of constants method, the linearization of the Matrix...

We introduce a new stochastic volatility model that includes, as special instances, the Heston (1993) and the 3/2 model of Heston (1997) and Platen (1997). Our model exhibits important features: first, instantaneous volatility can be uniformly bounded away from zero, and second, our model is...

In this paper we propose the first calibration exercise based on quantization methods. Pricing and calibration are typically difficult tasks to accomplish: pricing should be fast and accurate, otherwise calibration cannot be performed efficiently. We apply in a local volatility context the...

We consider non mean-reverting Wishart processes and we study the problem of determining the smallest time such that the Laplace transforms of the process and its integral become infinite. Thanks to the remarkable property of (affine) Wishart processes to reproduce non-trivial dependence among...