The Explicit Laplace Transform for the Wishart Process
18 Pages Posted: 15 Jul 2011 Last revised: 20 Aug 2013
Date Written: August 20, 2013
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 (1991). 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.
Keywords: Affine Processes, Wishart Process, ODE, Laplace Transform
JEL Classification: G13, C51
Suggested Citation: Suggested Citation