The explicit Laplace transform for the Wishart process

Alessandro Gnoatto and Martino Grasselli

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Abstract: 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. We compare our methodology with the alternative results given by the variation of constants method, the linearization of the Matrix Riccati ODE's and the Runge-Kutta algorithm. The new formula turns out to be fast and accurate.

Date: 2011-07, Revised 2013-08
New Economics Papers: this item is included in nep-ecm
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