Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk

By Christian Gouriéroux, R. Sufana. 2004

68 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/50fd41e840eaa477f90e410fae326d085f58e4b3

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Citations in the corpus

Option pricing when correlations are stochastic: an analytical framework (2007, unknown): “In this model, prices (conditional to volatilities) evolve according to a lognormal diffusion while the stochastic variance–covariance matrix follows a Wishart process as proposed by Gourieroux and Sufana (2004b) .”
Continuous Time Wishart Process for Stochastic Risk (2006, methodology): “Moreover, the analysis can be performed in a similar way for any number of firms (see Gourieroux and Sufana, 2004).”
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function (2014, unknown): “Following Gouriéroux and Sufana (2010), we assume that the quadratic variation of the risky assets is a matrix Σt which is assumed to satisfy the following dynamics:”
A multifactor volatility Heston model (2008, methodology): “Wishart processes have recently been applied in finance by Gourieroux and Sufana (2004): they considered a multi-asset stochastic volatility model: dSt ¼ diag½St ðr1dtþ ffiffiffiffiffi t p dZtÞ, where St, Zt2Rn, 1¼ (1, . . . , 1)T and the (Wishart) volatility matrix is assumed to be independent of…”
Correlation Risk and Optimal Portfolio Choice (2010, unknown): “The convenient properties of Wishart processes for modeling multivariate stochastic volatility in finance have been exploited first by Gouriéroux and Sufana (2004); Gouriéroux, Jasiak and Sufana (2004) provide a thorough analysis of the properties of Wishart processes, both in discrete and…”
Hedging (Co)Variance Risk with Variance Swaps (2011, unknown): “This is a wellknown feature of the symmetric matrix representation of the Wishart process, which carries less information than the whole filtration generated by the sources of uncertainty (see Gourieroux and Sufana (2004), page 17).”