Razvan Sufana
Biographic Data
| ID | 8921559 |
|---|---|
| NAME | Razvan Sufana |
| GIVEN NAMES | Razvan |
| FAMILY NAME | Sufana |
| SIGNATURE | SUFANA R |
| AFFILIATIONS | York University |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2010 |
| LATEST PUBLICATION YEAR | 2010 |
| H-INDEX | 0 |
Derivative Pricing With Wishart Multivariate Stochastic Volatility
This paper deals with the pricing of derivatives written on several underlying assets or factors satisfying a multivariate model with Wishart stochastic volatility matrix. This multivariate stochastic volatility model leads to a closed-form solution for the conditional Laplace transform, and quasi-explicit solutions for derivative prices written on more than one asset or underlying factor. Two examples are presented: (i) a multiasset extension of…
No prominent works on this page.
Derivative Pricing With Wishart Multivariate Stochastic Volatility
This paper deals with the pricing of derivatives written on several underlying assets or factors satisfying a multivariate model with Wishart stochastic volatility matrix. This multivariate stochastic volatility model leads to a closed-form solution for the conditional Laplace transform, and quasi-explicit solutions for derivative prices written on more than one asset or underlying factor. Two examples are presented: (i) a multiasset extension of…
Bivariate analysis (1 work) · Constant elasticity of variance model (1 work) · Credit Risk and Financial Regulations (1 work) · Econometrics (1 work) · Economics (1 work) · Financial Risk and Volatility Modeling (1 work) · Forward volatility (1 work) · Heston model (1 work) · Implied volatility (1 work) · Insurance and Financial Risk Management (1 work)