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

University of Toronto
York University

Résultats de recherche: Contribution à un journal › Article de révision › Revue par des pairs

Résumé

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.

langue originale	Anglais
Pages (de - à)	163-182
Nombre de pages	20
journal	Handbooks in Operations Research and Management Science
Volume	15
Numéro de publication	C
Les DOIs	https://doi.org/10.1016/S0927-0507(07)15004-0
état	Publié - 1 déc. 2007
Modification externe	Oui

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10.1016/S0927-0507(07)15004-0

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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.",

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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.

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Chapter 4 Pricing with Wishart Risk Factors

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