Computing Functionals of Square Root and Wishart Processes Under the Benchmark Approach via Exact Simulation

Baldeaux, J; Platen, E

Computing Functionals of Square Root and Wishart Processes Under the Benchmark Approach via Exact Simulation

Baldeaux, J Platen, E

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Publication Type:: Conference Proceeding
Citation:: Springer Proceedings in Mathematics and Statistics, 2013, 65 pp. 3 - 22
Issue Date:: 2013-12-01

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Field	Value	Language
dc.contributor.author	Baldeaux, J	en_US
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.date.issued	2013-12-01	en_US
dc.identifier.citation	Springer Proceedings in Mathematics and Statistics, 2013, 65 pp. 3 - 22	en_US
dc.identifier.isbn	9783642410949	en_US
dc.identifier.issn	2194-1009	en_US
dc.identifier.uri	http://hdl.handle.net/10453/30780
dc.description.abstract	The aim of the paper is to show how Wishart processes can be used flexibly in financial modeling. We explain how functionals, resulting from the benchmark approach to finance, can be accurately computed via exact simulation methods. We employ Lie symmetry methods to identify explicit transition densities and explicitly computable functionals. We illustrate the proposed methods via finance problems formulated under the benchmark approach. This approach allows us to exploit conveniently the analytical tractability of the considered diffusion processes. © Springer-Verlag Berlin Heidelberg 2013.	en_US
dc.relation.ispartof	Springer Proceedings in Mathematics and Statistics	en_US
dc.relation.isbasedon	10.1007/978-3-642-41095-6_1	en_US
dc.title	Computing Functionals of Square Root and Wishart Processes Under the Benchmark Approach via Exact Simulation	en_US
dc.type	Conference Proceeding
utslib.citation.volume	65	en_US
utslib.for	0103 Numerical and Computational Mathematics	en_US
dc.location.activity	Sydney, Australia
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.publication-status	Published	en_US
pubs.volume	65	en_US

Abstract:

The aim of the paper is to show how Wishart processes can be used flexibly in financial modeling. We explain how functionals, resulting from the benchmark approach to finance, can be accurately computed via exact simulation methods. We employ Lie symmetry methods to identify explicit transition densities and explicitly computable functionals. We illustrate the proposed methods via finance problems formulated under the benchmark approach. This approach allows us to exploit conveniently the analytical tractability of the considered diffusion processes. © Springer-Verlag Berlin Heidelberg 2013.

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http://hdl.handle.net/10453/30780