Affine processes on positive semidefinite matrices

Annals of Applied Probability

Volumn 21, Issue 2, 2011, Pages 397-463

  Cuchiero, Christa ^a   Filipović, Damir ^b   Mayerhofer, Eberhard ^c   Teichmann, Josef ^a  

^a ETH ZURICH   (Switzerland)

^b EPFL   (Switzerland)

^c Vienna Institute of Finance   (Austria)

Author keywords

Affine processes; Stochastic invariance; Stochastic volatility; Wishart processes

Indexed keywords

EID: 79953292816     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/10-AAP710     Document Type: Article

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