LIBROS DEL AUTOR: philip ngare

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  • Double Wishart stochastic volatility model and its applications
    Philip Ngare / Raphael Naryongo
    This study considered Wishart affine diffusion processes, which are stochastic processes defined as matrix-valued square root processes or as matrix generalization of a squared Bessel process. The aim of the study was to develop a double Wishart stochastic volatility model to price European option: A multifactor Heston model whose volatility components follow Wishart affine pro...
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