Chapter 4 Pricing with Wishart Risk Factors

Christian Gourieroux; Razvan Sufana

doi:10.1016/S0927-0507(07)15004-0

Chapter 4 Pricing with Wishart Risk Factors

Christian Gourieroux, Razvan Sufana

Research output: Contribution to journal › Review article › peer-review

Abstract

This paper is a survey of asset pricing based on risk factors that follow a Wishart process. The general approach of pricing with Wishart risk factors is explained both in discrete time and continuous time. The approach is illustrated by an application to quadratic term structure, a multivariate extension of Heston model, an application to a structural model for credit risk, and a model for credit risk that takes into account default occurrence and loss-given-default.

Original language	English
Pages (from-to)	163-182
Number of pages	20
Journal	Handbooks in Operations Research and Management Science
Volume	15
Issue number	C
DOIs	https://doi.org/10.1016/S0927-0507(07)15004-0
Publication status	Published - 1 Dec 2007
Externally published	Yes

Access to Document

10.1016/S0927-0507(07)15004-0

Cite this

@article{82063c717ee34a4586e19da151d582aa,

title = "Chapter 4 Pricing with Wishart Risk Factors",

abstract = "This paper is a survey of asset pricing based on risk factors that follow a Wishart process. The general approach of pricing with Wishart risk factors is explained both in discrete time and continuous time. The approach is illustrated by an application to quadratic term structure, a multivariate extension of Heston model, an application to a structural model for credit risk, and a model for credit risk that takes into account default occurrence and loss-given-default.",

author = "Christian Gourieroux and Razvan Sufana",

year = "2007",

month = dec,

day = "1",

doi = "10.1016/S0927-0507(07)15004-0",

language = "English",

volume = "15",

pages = "163--182",

journal = "Handbooks in Operations Research and Management Science",

issn = "0927-0507",

number = "C",

}

TY - JOUR

T1 - Chapter 4 Pricing with Wishart Risk Factors

AU - Gourieroux, Christian

AU - Sufana, Razvan

PY - 2007/12/1

Y1 - 2007/12/1

N2 - This paper is a survey of asset pricing based on risk factors that follow a Wishart process. The general approach of pricing with Wishart risk factors is explained both in discrete time and continuous time. The approach is illustrated by an application to quadratic term structure, a multivariate extension of Heston model, an application to a structural model for credit risk, and a model for credit risk that takes into account default occurrence and loss-given-default.

AB - This paper is a survey of asset pricing based on risk factors that follow a Wishart process. The general approach of pricing with Wishart risk factors is explained both in discrete time and continuous time. The approach is illustrated by an application to quadratic term structure, a multivariate extension of Heston model, an application to a structural model for credit risk, and a model for credit risk that takes into account default occurrence and loss-given-default.

U2 - 10.1016/S0927-0507(07)15004-0

DO - 10.1016/S0927-0507(07)15004-0

M3 - Review article

AN - SCOPUS:77950625309

SN - 0927-0507

VL - 15

SP - 163

EP - 182

JO - Handbooks in Operations Research and Management Science

JF - Handbooks in Operations Research and Management Science

IS - C

ER -

Chapter 4 Pricing with Wishart Risk Factors

Abstract

Access to Document

Fingerprint

Cite this