Found 75 Documents (Results 1–75)
Stochastic differential equations for orthogonal eigenvectors of \((G,\varepsilon)\)-Wishart process related to multivariate \(G\)-fractional Brownian motion. (English) Zbl 07805574
Spherical induced ensembles with symplectic symmetry. (English) Zbl 1518.60006
Reviewer: Ludwig Paditz (Dresden)
Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. (English) Zbl 07704484
Geostatistical modeling of positive-definite matrices: an application to diffusion tensor imaging. (English) Zbl 1520.62254
MSC:
62P10
Recent advances on eigenvalues of matrix-valued stochastic processes. (English) Zbl 1480.60056
Reviewer: Anatoliy Swishchuk (Calgary)
Gaussian free fields coupled with multiple SLEs driven by stochastic log-gases. (English) Zbl 1492.60081
Inahama, Yuzuru (ed.) et al., Stochastic analysis, random fields and integrable probability – Fukuoka 2019. Proceedings of the 12th Mathematical Society of Japan, Seasonal Institute (MSJ-SI), Kyushu University, Japan, 31 July – 9 August 2019. Tokyo: Mathematical Society of Japan. Adv. Stud. Pure Math. 87, 315-341 (2021).
Reviewer: Rózsa Horváth-Bokor (Budakalász)
On the application of Wishart process to the pricing of equity derivatives: the multi-asset case. (English) Zbl 07432764
MSC:
90Bxx
Limiting behavior of large correlated Wishart matrices with chaotic entries. (English) Zbl 1480.60008
Markowitz portfolio selection for multivariate affine and quadratic Volterra models. (English) Zbl 1460.91243
High-dimensional limits of eigenvalue distributions for general Wishart process. (English) Zbl 1461.60052
Reviewer: Fraser Daly (Edinburgh)
Small-time smile for the multifactor volatility Heston model. (English) Zbl 1454.91311
Reviewer: George Stoica (Saint John)
Stochastic differential equations for eigenvalues and eigenvectors of a \(G\)-Wishart process with drift. (English. Russian original) Zbl 1435.62219
Ukr. Math. J. 71, No. 4, 572-588 (2019); translation from Ukr. Mat. Zh. 71, No. 4, 502-515 (2019).
Long-time large deviations for the multiasset Wishart stochastic volatility model and option pricing. (English) Zbl 1433.91166
Reviewer: Yuliya S. Mishura (Kyïv)
Calibration and advanced simulation schemes for the Wishart stochastic volatility model. (English) Zbl 1420.91515
Negative binomial autoregressive process with stochastic intensity. (English) Zbl 1425.62125
Reviewer: Claudia Simionescu-Badea (Wien)
Optimal investment for insurers with correlation risk: risk aversion and investment horizon. (English) Zbl 07110043
Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications. (English) Zbl 1415.60040
Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like. (English) Zbl 1402.91723
Efficient Bayesian hierarchical functional data analysis with basis function approximations using Gaussian-Wishart processes. (English) Zbl 1405.62059
Long-term optimal investment in matrix valued factor models. (English) Zbl 1367.91169
Reviewer: Aleksandr D. Borisenko (Kyïv)
Bond pricing under mixed generalized CIR model with mixed Wishart volatility process. (English) Zbl 1358.91099
On the non-commutative fractional Wishart process. (English) Zbl 1362.60040
Reviewer: B. L. S. Prakasa Rao (Hyderabad)
Algorithm 963: Estimation of stochastic covariance models using a continuum of moment conditions. (English) Zbl 1369.65015
The role of the dependence between mortality and interest rates when pricing guaranteed annuity options. (English) Zbl 1371.91084
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes. (English) Zbl 1345.91075
On some applications of a generalization of Laguerre polynomials in statistics. (English) Zbl 1502.33004
Di Nardo, Elvira (ed.), Recent advances in probability and statistics. Potenza: Seminario Interdisciplinare di Matematica (S.I.M.). Lect. Notes Semin. Interdiscip. Mat. 12, 97-109 (2015).
A closed-form solution for outperformance options with stochastic correlation and stochastic volatility. (English) Zbl 1347.60090
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing. (English) Zbl 1337.62316
Affine diffusions and related processes: simulation, theory and applications. (English) Zbl 1387.60002
Bocconi & Springer Series 6. Milano: Bocconi University Press; Cham: Springer (ISBN 978-3-319-05220-5/hbk; 978-3-319-05221-2/ebook). xiii, 252 p. (2015).
Reviewer: Heinrich Hering (Rockenberg)
Multivariate stochastic volatility estimation using particle filters. (English) Zbl 1331.91207
Akritas, Michael G. (ed.) et al., Topics in nonparametric statistics. Proceedings of the first conference of the International Society for Nonparametric Statistics, ISNPS, Chalkidiki, Greece, June 15–19, 2012. New York, NY: Springer (ISBN 978-1-4939-0568-3/hbk; 978-1-4939-0569-0/ebook). Springer Proceedings in Mathematics & Statistics 74, 335-345 (2014).
Estimating the Wishart affine stochastic correlation model using the empirical characteristic function. (English) Zbl 1329.91148
Moderate deviations and central limit theorem for small perturbation Wishart processes. (English) Zbl 1309.60016
Mean-variance asset-liability management with asset correlation risk and insurance liabilities. (English) Zbl 1306.91122
An affine multicurrency model with stochastic volatility and stochastic interest rates. (English) Zbl 1308.91162
The explicit Laplace transform for the Wishart process. (English) Zbl 1304.65008
Reviewer: Maria Christina Mariani (El Paso)
Eigenvalue statistics for product complex Wishart matrices. (English) Zbl 1309.15053
Reviewer: Carlos Gabriel Pacheco (México D. F.)
Computing functionals of square root and Wishart processes under the benchmark approach via exact simulation. (English) Zbl 1308.91183
Dick, Josef (ed.) et al., Monte Carlo and quasi-Monte Carlo methods 2012. Proceedings of the 10th international conference on ‘Monte Carlo and quasi-Monte Carlo methods in scientific computing’, Sydney, Australia, February 13–17, 2012. Berlin: Springer (ISBN 978-3-642-41094-9/hbk; 978-3-642-41095-6/ebook). Springer Proceedings in Mathematics & Statistics 65, 3-22 (2013).
Reviewer: Paweł Kliber (Poznan)
Exact and high-order discretization schemes for Wishart processes and their affine extensions. (English) Zbl 1269.65003
Reviewer: Grigori N. Milstein (Yekaterinburg)
A mean-reverting SDE on correlation matrices. (English) Zbl 1271.65014
Reviewer: Gong Guanglu (Beijing)
Currency option pricing with Wishart process. (English) Zbl 1251.91063
MSC:
91G20
Multi-variate stochastic volatility modelling using Wishart autoregressive processes. (English) Zbl 1300.62083
Worst-of options and correlation skew under a stochastic correlation framework. (English) Zbl 1282.91342
Discrete time Wishart term structure models. (English) Zbl 1231.91455
MSC:
91G30
Multivariate stochastic volatility. (English) Zbl 1178.91221
Andersen, Torben G. (ed.) et al., Handbook of financial time series. With a foreword by Robert Engle. Berlin: Springer (ISBN 978-3-540-71296-1/hbk; 978-3-540-71297-8/ebook). 365-400 (2009).
CAR and affine processes. (English) Zbl 1178.91223
Mariano, Roberto S. (ed.) et al., Econometric forecasting and high-frequency data analysis. Papers based on the presentations at the program, April–May 2004. Hackensack, NJ: World Scientific (ISBN 978-981-277-895-6/hbk). Lecture Notes Series. Institute for Mathematical Sciences. National University of Singapore 13, 131-158 (2008).
The moments of Wishart processes via Itô calculus. (English. Russian original) Zbl 1131.60008
Theory Probab. Appl. 51, No. 4, 609-625 (2007) and Teor. Veroyatn. Primen. 51, No. 4, 732-751 (2006).
Nonstationary multivariate process modeling through spatially varying coregionalization. (English) Zbl 1069.62074
Eigenvalues of the Laguerre process as non-colliding squared Bessel processes. (English) Zbl 1011.15012
Geostatistical modelling for spatial interaction data with application to postal service performance. (English) Zbl 0960.62102
Stereological analysis of particles of varying ellipsoidal shape. (English) Zbl 0641.60017
MSC:
60D05
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