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Matrix-valued affine processes, in particular Wishart Processes: theoretical and applied aspects

Units : Actuarial sciences | ULB454

Description :

We will first concentrate on some theoretical issues of matrix valeud affine processes. Afterwards we will study stochastic
volatility models and term structure models by using matrix-valued affine processes.

List of persons in charge :

  • DEELSTRA Griselda

  • PATIE Pierre

List of lessors :

  • FRIA