The explicit Laplace transform for the Wishart process

Details The explicit Laplace transform for the Wishart process The explicit Laplace transform for the Wishart process

2011-07-14

arxiv.org/abs/1107.2748v2

Economy

Quantitative Finance

Pricing of Securities

Scientific paper

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, accurate and very useful for applications when dealing with stochastic volatility and stochastic correlation modelling.

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