Risk Premia and Wishart Term Structure Models

Chiarella, Carl; Hsiao, Chih-Ying; To, Thuy Duong

doi:10.2139/ssrn.1573184

Cited by 7 publications

(7 citation statements)

References 17 publications

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“…Our methodology for the computation of the Laplace transform may be directly employed to provide a closed form formula for the price of zero coupon bonds when the short rate is driven by a Wishart process. The Wishart short rate model has been studied in [22], [24], [6], [8] and [19]. The short rate is modeled as…”

Section: A Short Rate Modelmentioning

confidence: 99%

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The Explicit Laplace Transform for the Wishart Process

Gnoatto

Grasselli

2011

SSRN Journal

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Section: A Short Rate Modelmentioning

confidence: 99%

“…Conditions (7) -(8) give explicit parameter constraints in order to ensure the finiteness of the Laplace transform. If they are not satisfied, then the Laplace transform is regular only up to a (possibly finite) explosion time.…”

mentioning

confidence: 99%

The Explicit Laplace Transform for the Wishart Process

Gnoatto

Grasselli

2011

SSRN Journal

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“…Our methodology for the computation of the Laplace transform may be directly employed to provide a closed-form formula for the price of zero-coupon bonds when the short rate is driven by a Wishart process. The Wishart short-rate model has been studied in [6], [8], [19], [21], and [24]. The short rate is modelled as…”

Section: 13mentioning

confidence: 99%

The Explicit Laplace Transform for the Wishart Process

Gnoatto

Grasselli

2014

Journal of Applied Probability

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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.

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“… Modeling of multivariate asset price process und physical probability with stochastic covariance and mean-return rates: see [14,17,18].  Modeling of (term structure of) interest chastic intensity for credit risk: see [14,17,19,20]. Our market model defined by (2.1)-(2.4) in Sectio an extension of the model employed by [18], (see Example 2.1), who studied the expected CRRA-utility ma ximization of terminal wealth, which is essentially equivalent to (1.3).…”

Section: Remark 11mentioning

confidence: 99%

Risk-Sensitive Asset Management under a Wishart Autoregressive Factor Model

Hata¹,

Sekine²

2013

JMF

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The risk-sensitive asset management problem with a finite horizon is studied under a financial market model having a Wishart autoregressive stochastic factor, which is positive-definite symmetric matrix-valued. This financial market model has the following interesting features: 1) it describes the stochasticity of the market covariance structure, interest rates, and the risk premium of the risky assets; and 2) it admits the explicit representations of the solution to the risk-sensitive asset management problem.

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Risk Premia and Wishart Term Structure Models

Cited by 7 publications

References 17 publications

The Explicit Laplace Transform for the Wishart Process

The Explicit Laplace Transform for the Wishart Process

The Explicit Laplace Transform for the Wishart Process

Risk-Sensitive Asset Management under a Wishart Autoregressive Factor Model

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