Wishart Processes

2013 ◽  
pp. 261-297
Author(s):  
Jan Baldeaux ◽  
Eckhard Platen
Keyword(s):  
Wishart Processes

scholarly journals A characterization of Wishart processes and Wishart distributions

2018 ◽  
Vol 128 (4) ◽  
pp. 1386-1404 ◽  
Author(s):  
Piotr Graczyk ◽  
Jacek Małecki ◽  
Eberhard Mayerhofer
Keyword(s):  
Wishart Distributions ◽  
Wishart Processes

Free Wishart Processes

2005 ◽  
Vol 18 (2) ◽  
pp. 413-438 ◽  
Author(s):  
M. Capitaine ◽  
C. Donati-Martin
Keyword(s):  
Wishart Processes

Multivariate Stochastic Volatility via Wishart Processes: A Comment

2012 ◽  
Vol 30 (1) ◽  
pp. 164-164 ◽  
Author(s):  
Wolfgang Rinnergschwentner ◽  
Gottfried Tappeiner ◽  
Janette Walde
Keyword(s):  
Stochastic Volatility ◽  
Wishart Processes ◽  
Multivariate Stochastic Volatility

scholarly journals Goodness-of-fit tests for centralized Wishart processes

2019 ◽  
Vol 49 (20) ◽  
pp. 5060-5090
Author(s):  
Gustav Alfelt ◽  
Taras Bodnar ◽  
Joanna Tyrcha
Keyword(s):  
Goodness Of Fit ◽  
Goodness Of Fit Tests ◽  
Wishart Processes

Wishart processes

1991 ◽  
Vol 4 (4) ◽  
pp. 725-751 ◽  
Author(s):  
Marie-France Bru
Keyword(s):  
Wishart Processes

scholarly journals European Option Pricing under Wishart Processes

2021 ◽  
Vol 2021 ◽  
pp. 1-24
Author(s):  
Raphael Naryongo ◽  
Philip Ngare ◽  
Anthony Waititu
Keyword(s):  
Option Pricing ◽  
Market Price ◽  
Stochastic Volatility Model ◽  
European Option ◽  
Multifactor Model ◽  
Asset Pricing Model ◽  
European Option Pricing ◽  
Volatility Model ◽  
Wishart Processes ◽  
The Fourier Transform

This study deals with a single risky asset pricing model whose volatility is described by Wishart affine processes. This multifactor model with two dependency matrices describing the correlation between the asset dynamic and Wishart processes makes it more flexible enough to fit the market data for short or long maturities. The aim of the study is to derive and solve the call option pricing problem under the double Wishart stochastic volatility model. The Fourier transform techniques combined with perturbation methods are employed in order to price the European call options. The numerical illustrations on pricing predictions show similar behavior of price movements under the double Wishart model with respect to the market price.

Non-stationary Generalized Wishart Processes for Enhancing Resolution over Diffusion Tensor Fields

2018 ◽  
pp. 371-381
Author(s):  
Jhon F. Cuellar-Fierro ◽  
Hernán Darío Vargas-Cardona ◽  
Andrés M. Álvarez ◽  
Álvaro A. Orozco ◽  
Mauricio A. Álvarez
Keyword(s):  
Diffusion Tensor ◽  
Tensor Fields ◽  
Wishart Processes

SIMPLE SIMULATION SCHEMES FOR CIR AND WISHART PROCESSES

2013 ◽  
Vol 16 (08) ◽  
pp. 1350045 ◽  
Author(s):  
PAOLO BALDI ◽  
CAMILLA PISANI
Keyword(s):  
Main Idea ◽  
Second Order ◽  
Uhlenbeck Process ◽  
Deterministic Process ◽  
Simple Simulation ◽  
Wishart Processes ◽  
Ornstein Uhlenbeck Process ◽  
Order Scheme ◽  
Simple Matrix ◽  
Simulation Algorithms

We develop some simple simulation algorithms for CIR and Wishart processes. We investigate rigorously the square of a matrix valued Ornstein–Uhlenbeck process, the main idea being to split the generator and to reduce the problem to the simulation of the square of a matrix valued Ornstein–Uhlenbeck process to be added to a deterministic process. In this way, we provide a weak second-order scheme that requires only the simulation of i.i.d. Gaussian r.v.'s and simple matrix manipulations.

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