article

Alessandro Gnoatto and Martino Grasselli


Finance Group (2014) : The Explicit Laplace Transform for the Wishart Process




The Explicit Laplace Transform for the Wishart Process

Alessandro Gnoatto and Martino Grasselli




article

Journal of Applied Probability

We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral, which extends the original approach of Bru (1991). We compare our methodology with the alternative results given by the variation-of-constants method, the linearization of the matrix Riccati ordinary differential equation, and the Runge-Kutta algorithm. The new formula turns out to be fast and accurate.

To cite this publication :


Giorgia Callegaro, Lucio Fiorin, Martino Grasselli: Quantized calibration in local volatility models. Dans: Risk Magazine, 9 , p. 62-67, 2015, ISSN: 0952-8776.





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