scholarly journals On the non-commutative fractional Wishart process

2017 ◽  
Vol 272 (1) ◽  
pp. 339-362 ◽  
Author(s):  
Juan Carlos Pardo ◽  
José-Luis Pérez ◽  
Victor Pérez-Abreu
Keyword(s):  
Wishart Process

scholarly journals The Explicit Laplace Transform for the Wishart Process

2014 ◽  
Vol 51 (3) ◽  
pp. 640-656 ◽  
Author(s):  
Alessandro Gnoatto ◽  
Martino Grasselli
Keyword(s):  
Differential Equation ◽  
Ordinary Differential Equation ◽  
Laplace Transform ◽  
Explicit Formula ◽  
Time Integral ◽  
Variation Of Constants ◽  
The Matrix ◽  
Wishart Process ◽  
New Formula ◽  
Original Approach

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 Riccati ordinary differential equation, and the Runge-Kutta algorithm. The new formula turns out to be fast and accurate.

scholarly journals High-dimensional limits of eigenvalue distributions for general Wishart process

2020 ◽  
Vol 30 (4) ◽  
pp. 1642-1668
Author(s):  
Jian Song ◽  
Jianfeng Yao ◽  
Wangjun Yuan
Keyword(s):  
High Dimensional ◽  
Wishart Process

scholarly journals Currency option pricing with Wishart process

2013 ◽  
Vol 238 ◽  
pp. 156-170 ◽  
Author(s):  
Kwai Sun Leung ◽  
Hoi Ying Wong ◽  
Hon Yip Ng
Keyword(s):  
Option Pricing ◽  
Currency Option ◽  
Wishart Process ◽  
Currency Option Pricing

scholarly journals The Explicit Laplace Transform for the Wishart Process

2014 ◽  
Vol 51 (03) ◽  
pp. 640-656 ◽  
Author(s):  
Alessandro Gnoatto ◽  
Martino Grasselli
Keyword(s):  
Differential Equation ◽  
Ordinary Differential Equation ◽  
Laplace Transform ◽  
Explicit Formula ◽  
Time Integral ◽  
Variation Of Constants ◽  
The Matrix ◽  
Wishart Process ◽  
New Formula ◽  
Original Approach

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 Riccati ordinary differential equation, and the Runge-Kutta algorithm. The new formula turns out to be fast and accurate.

scholarly journals Explosion time for some Laplace transforms of the Wishart process

2019 ◽  
Vol 35 (1) ◽  
pp. 89-104
Author(s):  
Griselda Deelstra ◽  
Martino Grasselli ◽  
Christopher Van Weverberg
Keyword(s):  
Laplace Transforms ◽  
Wishart Process
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