Affine processes on positive semidefinite matrices

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Author
Cuchiero, Christa
Filipović, Damir
Mayerhofer, Eberhard
Teichmann, Josef
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Date
2011
Type
  • Journal Article
Publication status
published
External links
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Journal / series
The annals of applied probability
Volume
21(2)
Pages
397 - 463
Publisher
Institute of Mathematical Statistics
Subject
Affine processes; Wishart processes; Stochastic volatility; Stochastic invariance
Organisational unit
03845 - Teichmann, Josef
Notes
.
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