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AFFINE PROCESSES ON POSITIVE SEMIDEFINITE MATRICES
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"... Abstract. This paper provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. These matrix-valued affine processes have arisen from a large and growing range of useful applications in finance, including multi-asset o ..."
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Cited by 29 (11 self)
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Abstract. This paper provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. These matrix-valued affine processes have arisen from a large and growing range of useful applications in finance, including multi-asset option pricing with stochastic volatility and correlation structures, and fixed-income models with stochastically correlated risk factors and default intensities.
ON STRONG SOLUTIONS FOR POSITIVE DEFINITE JUMP–DIFFUSIONS
"... Abstract. We show the existence of unique global strong solutions of a class of stochastic differential equations on the cone of symmetric positive definite matrices. Our result includes affine diffusion processes and therefore extends considerably the known statements concerning Wishart processes. ..."
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Cited by 16 (3 self)
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Abstract. We show the existence of unique global strong solutions of a class of stochastic differential equations on the cone of symmetric positive definite matrices. Our result includes affine diffusion processes and therefore extends considerably the known statements concerning Wishart processes. 1.
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"... Three make a dynamic smile – unspanned skewness and interacting volatility components in option valuation ..."
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Three make a dynamic smile – unspanned skewness and interacting volatility components in option valuation
