Whishart Quadratic Term Structure Models

By Christian Gouriéroux, R. Sufana. 2003

77 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/9461ada65e1f73e9166f75fe779b35e87a3458ea

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Citations in the corpus

Asset Pricing with Second-Order Esscher Transforms (2010, background): “…models, for instance, it could be relevant to study the relationships with the class of affine-quadratic yield curve models proposed by Chen, Filipovic and Poor (2004), Cheng and Scaillet (2007), Gourieroux, Jasiak and Sufana (2009), Gourieroux and Sufana (2003) and Leippold and Wu (2002, 2003).”
On strong solutions for positive definite jump diffusions (2009, unknown): “Applications. Positive semi-denite matrix valued processes are increasingly used in nance, particularly for stochastic modeling of multivariate stochastic volatility phenomena in equity and xed income models, see [7, 8, 11, 12, 13, 14, 20 , 21, 23, 32].”
Understanding, modelling and managing longevity risk: key issues and main challenges (2012, background): “In fact, Gourieroux & Sufana ( 2003 ) have outlined these drawbacks, introducing a new class of processes, the so-called quadratic class.”
Option pricing when correlations are stochastic: an analytical framework (2007, unknown): “The first paper proposing the use of continuous-time Wishart processes in quantitative finance is by Gourieroux and Sufana (2004a) .”
A multifactor volatility Heston model (2008, methodology): “Matrix Riccati linearization Matrix Riccati equations such as (9) have several nice properties (see, e.g., Freiling (2002)): the most remarkable property is that their flow can be linearized by doubling the dimension of the problem, due to the fact that Riccati ODE belong to a quotient manifold (see”
Affine Processes on Positive Semidefinite Matrices (2009, unknown): “[9, 10, 11, 12], Gourieroux and Sufana [15, 16], Leippold and Trojani [20], etc.”
Monetary Policy Shifts and the Term Structure (2011, methodology): “The quadratic term itself follows an affine process, as shown by Filipovic and Teichmann (2002) and Gourieroux and Sufana (2003).”
SOLVABLE AFFINE TERM STRUCTURE MODELS (2007, methodology): “…find the explicit solution is carried out for all solvable models within the Duffie and Kan (1996) state space D= Rm+ × Rn−m, for Wishart models (see Gourieroux and Sufana 2003) where D = Pos+(r , R) and for a new class, corresponding to Lorentz cone (rigourously defined below) state space D = 4.”
Continuous Time Wishart Process for Stochastic Risk (2006, background): “…as special cases the quadratic term structure models introduced in the literature for risk-free bonds (Ahn et al., 2002; Constantinides, 1992; Gourieroux and Sufana, 2003; Leippold and Wu, 2002), and the so-called reduced-form model for credit risk, in which rt and i ,t are linear…”
Affine Diffusion Processes: Theory and Applications (2009, background): “ t≤ T ([12], Section 12). In general, aﬃne diﬀusion processes on compact state spaces have to be degenerate. (ii) Matrix state-spaces S+ d (d≥ 2), the cone of symmetric positive deﬁnite matrices (see [5, 6, 15, 17, 19]. (iii) Parabolic state-spaces, cf. [18], which are in turn, related to quadratic ”