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Griselda Deelstra and Martino Grasselli and Christopher van Weverberg


Finance Group (2015) : Explosion time for some Wishart transforms




Explosion time for some Wishart transforms

Griselda Deelstra and Martino Grasselli and Christopher van Weverberg




techreport

We consider non mean-reverting Wishart processes and we study the problem of determining the smallest time such that the Laplace transforms of the process and its integral become infinite. Thanks to the remarkable property of (affine) Wishart processes to reproduce non-trivial dependence among the positive factors, we are able to explain the behavior of the explosion times in terms of the relative importance of the involved factors and their correlations. In this way, we go far beyond the known results that can be recovered in the classical affine framework.

To cite this publication :


Griselda Deelstra, Martino Grasselli, Christopher van Weverberg: Explosion time for some Wishart transforms. ULB 2015.





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