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Calibration and advanced simulation schemes for the Wishart stochastic volatility model
La Bua, Gaetano; Marazzina, Daniele - In: Quantitative finance 19 (2019) 6, pp. 997-1016
Persistent link: https://www.econbiz.de/10012194737
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On the application of Wishart process to the pricing of equity derivatives : the multi-asset case
La Bua, Gaetano; Marazzina, Daniele - In: Computational management science 18 (2021) 2, pp. 149-176
Persistent link: https://www.econbiz.de/10012543391
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A new class of multidimensional Wishart-based hybrid models
La Bua, Gaetano; Marazzina, Daniele - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 209-239
Persistent link: https://www.econbiz.de/10013380545