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A mean-reverting SDE on correlation matrices · Study

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ArticleA mean-reverting SDE on correlation matrices

Abdelkoddousse Ahdida2012

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Articlebronze2012

A mean-reverting SDE on correlation matrices

Abdelkoddousse Ahdida · Aurélien Alfonsi

21 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Random Matrices and Applications

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2007Brownian Motion and Stochastic Calculus 1991Brownian motion and stochastic calculus 2010Mathematical Methods for Financial Markets 2001Exponential Functionals of Brownian Motion and Related Processes 2007Option pricing when correlations are stochastic: an analytical framework 2008Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing 2009High order discretization schemes for the CIR process: Application to affine term structure and Heston models

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Year2012

Typearticle

Published2012-12-26

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2012.12.008

openalex_workW2018822152

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