Affine processes on positive semidefinite matrices - Research Collection

Metadata only

Author

Cuchiero, Christa

Filipović, Damir

Mayerhofer, Eberhard

Teichmann, Josef

Date

2011

Type

Journal Article

Citations

Cited 51 times in Web of Science

ETH Bibliography

yes

Altmetrics

Publication status

published

External links

https://doi.org/10.1214/10-AAP710

Journal / series

The annals of applied probability

Volume

21(2)

Pages / Article No.

397 - 463

Publisher

Institute of Mathematical Statistics

Subject

Affine processes; Wishart processes; Stochastic volatility; Stochastic invariance

Organisational unit

03845 - Teichmann, Josef / Teichmann, Josef

Notes

.

More

Show all metadata

Citations

Cited 51 times in Web of Science

ETH Bibliography

yes

Altmetrics