The Explicit Laplace Transform for the Wishart Process

Gnoatto, Alessandro und Grasselli, Martino (2014): The Explicit Laplace Transform for the Wishart Process. In: Journal of Applied Probability, Bd. 51, Nr. 3: S. 640-656

Abstract

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.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 0021-9002
• Sprache: Englisch