The Explicit Laplace Transform for the Wishart Process

Gnoatto, Alessandro and Grasselli, Martino (2014): The Explicit Laplace Transform for the Wishart Process. In: Journal of Applied Probability, Vol. 51, No. 3: pp. 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.

• Item Type: Journal article
• Faculties: Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics
• Subjects: 500 Science > 510 Mathematics
• ISSN: 0021-9002
• Language: English