The Laplace transform of the integrated Volterra Wishart process
Year of publication: |
2022
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Authors: | Abi Jaber, Eduardo |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 32.2022, 1, p. 309-348
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Subject: | Fredholm's determinant | Gaussian processes | quadratic short rate models | rough volatility models | Wishart processes | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis |
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