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Derivative Pricing With Wishart Multivariate Stochastic Volatility
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- Chulmin Kang & Wanmo Kang & Jong Mun Lee, 2017. "Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model," Operations Research, INFORMS, vol. 65(5), pages 1190-1206, October.
- Ovidiu Costin & Michael B. Gordy & Min Huang & Pawel J. Szerszen, 2016.
"Expectations Of Functions Of Stochastic Time With Application To Credit Risk Modeling,"
Mathematical Finance, Wiley Blackwell, vol. 26(4), pages 748-784, October.
- Ovidiu Costin & Michael B. Gordy & Min Huang & Pawel J. Szerszen, 2013. "Expectations of functions of stochastic time with application to credit risk modeling," Finance and Economics Discussion Series 2013-14, Board of Governors of the Federal Reserve System (U.S.).
- Asai, Manabu & McAleer, Michael, 2015.
"Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 436-446.
- Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing," Documentos de Trabajo del ICAE 2013-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," Tinbergen Institute Discussion Papers 13-003/III, Tinbergen Institute.
- Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," KIER Working Papers 840, Kyoto University, Institute of Economic Research.
- Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
- Martin Friesen & Sven Karbach, 2024. "Stationary covariance regime for affine stochastic covariance models in Hilbert spaces," Finance and Stochastics, Springer, vol. 28(4), pages 1077-1116, October.
- Manabu Asai & Michael McAleer, 2017.
"A fractionally integrated Wishart stochastic volatility model,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 42-59, March.
- Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," Documentos de Trabajo del ICAE 2013-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," Tinbergen Institute Discussion Papers 13-025/III, Tinbergen Institute.
- Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," KIER Working Papers 848, Kyoto University, Institute of Economic Research.
- Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014.
"The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options,"
International Journal of Forecasting, Elsevier, vol. 30(1), pages 78-98.
- Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options," CREATES Research Papers 2012-04, Department of Economics and Business Economics, Aarhus University.
- ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," LIDAM Discussion Papers CORE 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen Rombouts & Lars Stentoft & Francesco Violente, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options," CIRANO Working Papers 2012s-05, CIRANO.
- Gourieroux, C. & Monfort, A. & Sufana, R., 2010.
"International money and stock market contingent claims,"
Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
- Christian Gourieroux & Alain Monfort & Razvan Sufana, 2005. "International Money and Stock Market Contingent Claims," Working Papers 2005-41, Center for Research in Economics and Statistics.
- Sourav Majumdar & Arnab Kumar Laha, 2024. "Diffusion on the circle and a stochastic correlation model," Papers 2412.06343, arXiv.org.
- Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013.
"A flexible matrix Libor model with smiles,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
- Jos'e Da Fonseca & Alessandro Gnoatto & Martino Grasselli, 2012. "A flexible matrix Libor model with smiles," Papers 1203.4786, arXiv.org.
- Mayerhofer, Eberhard & Pfaffel, Oliver & Stelzer, Robert, 2011. "On strong solutions for positive definite jump diffusions," Stochastic Processes and their Applications, Elsevier, vol. 121(9), pages 2072-2086, September.
- Gaetano Bua & Daniele Marazzina, 2021. "On the application of Wishart process to the pricing of equity derivatives: the multi-asset case," Computational Management Science, Springer, vol. 18(2), pages 149-176, June.
- Da Fonseca, José, 2016. "On moment non-explosions for Wishart-based stochastic volatility models," European Journal of Operational Research, Elsevier, vol. 254(3), pages 889-894.
- R. Sufana, 2013. "Leverage effects in a multiasset framework," Applied Financial Economics, Taylor & Francis Journals, vol. 23(9), pages 783-787, May.
- Chiu, Mei Choi & Wong, Hoi Ying & Zhao, Jing, 2015. "Commodity derivatives pricing with cointegration and stochastic covariances," European Journal of Operational Research, Elsevier, vol. 246(2), pages 476-486.
- Rombouts, Jeroen V.K. & Stentoft, Lars, 2011.
"Multivariate option pricing with time varying volatility and correlations,"
Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2267-2281, September.
- Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing with Time Varying Volatility and Correlations," Cahiers de recherche 1020, CIRPEE.
- ROMBOUTS, Jeroen J. K & STENTOFT, Lars, 2010. "Multivariate option pricing with time varying volatility and correlations," LIDAM Discussion Papers CORE 2010020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing with Time Varying Volatility and Correlations," CREATES Research Papers 2010-19, Department of Economics and Business Economics, Aarhus University.
- Jeroen Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing With Time Varying Volatility and Correlations," CIRANO Working Papers 2010s-23, CIRANO.
- Monfort, Alain & Pegoraro, Fulvio, 2012.
"Asset pricing with Second-Order Esscher Transforms,"
Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
- Alain MONFORT & Fulvio PEGORARO, 2010. "Asset Pricing with Second-Order Esscher Transforms," Working Papers 2010-54, Center for Research in Economics and Statistics.
- Monfort, A. & Pegoraro, F., 2012. "Asset Pricing with Second-Order Esscher Transforms," Working papers 397, Banque de France.
- Da Fonseca, José, 2024. "Pricing guaranteed annuity options in a linear-rational Wishart mortality model," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 122-131.
- Branger, Nicole & Muck, Matthias, 2012. "Keep on smiling? The pricing of Quanto options when all covariances are stochastic," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1577-1591.
- Alfonsi, Aurélien & Kebaier, Ahmed & Rey, Clément, 2016. "Maximum likelihood estimation for Wishart processes," Stochastic Processes and their Applications, Elsevier, vol. 126(11), pages 3243-3282.
- Feunou Bruno & Tafolong Ernest, 2015.
"Fourier inversion formulas for multiple-asset option pricing,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(5), pages 531-559, December.
- Bruno Feunou & Ernest Tafolong, 2015. "Fourier Inversion Formulas for Multiple-Asset Option Pricing," Staff Working Papers 15-11, Bank of Canada.
- Sonja Cox & Sven Karbach & Asma Khedher, 2022. "An infinite‐dimensional affine stochastic volatility model," Mathematical Finance, Wiley Blackwell, vol. 32(3), pages 878-906, July.
- Barnett William A. & Jawadi Fredj & Ftiti Zied, 2020.
"Causal relationships between inflation and inflation uncertainty,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(5), pages 1-26, December.
- William A. Barnett & Zied Ftiti & Fredj Jawadi, 2018. "The Causal Relationships between Inflation and Inflation Uncertainty," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201803, University of Kansas, Department of Economics, revised Mar 2018.
- William A. Barnett & Fredj Jawadi & Zied Ftiti, 2020. "Causal Relationships Between Inflation and Inflation Uncertainty," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202010, University of Kansas, Department of Economics, revised Jul 2020.
- Barnett, William A. & Jawadi, Fredj & Ftiti, Zied, 2020. "Causal Relationships between Inflation and Inflation Uncertainty," MPRA Paper 101682, University Library of Munich, Germany.
- Barnett, William & Ftiti, Zied & Jawadi, Fredj, 2018. "The Causal Relationships between Inflation and Inflation Uncertainty," MPRA Paper 86478, University Library of Munich, Germany.
- Mayerhofer, Eberhard & Stelzer, Robert & Vestweber, Johanna, 2020. "Geometric ergodicity of affine processes on cones," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4141-4173.
- Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Mean–variance asset–liability management with asset correlation risk and insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 300-310.
- Sven Karbach, 2024. "Heat modulated affine stochastic volatility models for forward curve dynamics," Papers 2409.13070, arXiv.org.
- Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016. "The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 205-219.
- Chulmin Kang & Wanmo Kang, 2013. "Exact Simulation of Wishart Multidimensional Stochastic Volatility Model," Papers 1309.0557, arXiv.org.
- Aur'elien Alfonsi & David Krief & Peter Tankov, 2018. "Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing," Papers 1806.06883, arXiv.org.
- Alessandro Gnoatto & Martino Grasselli, 2011. "The explicit Laplace transform for the Wishart process," Papers 1107.2748, arXiv.org, revised Aug 2013.
- Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2013. "Indirect Inference in fractional short-term interest rate diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 109-126.
- Ming Lin & Changjiang Liu & Linlin Niu, 2013. "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
- Elena Hadjicosta & Donald Richards, 2020. "Integral transform methods in goodness-of-fit testing, II: the Wishart distributions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(6), pages 1317-1370, December.
- Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2013. "Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield," Papers 1311.0688, arXiv.org, revised Aug 2015.
- Lars Stentoft, 2013. "American option pricing using simulation with an application to the GARCH model," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 5, pages 114-147, Edward Elgar Publishing.
- Lorenzo Torricelli, 2016. "Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes," Review of Derivatives Research, Springer, vol. 19(1), pages 1-39, April.
- Song, Jian & Yao, Jianfeng & Yuan, Wangjun, 2022. "Recent advances on eigenvalues of matrix-valued stochastic processes," Journal of Multivariate Analysis, Elsevier, vol. 188(C).