36 citations · 36 across the 2 of their papers we have counts for
3 papers
Smile with the Gaussian term structure model
Abdelkoddousse Ahdida, Aurélien Alfonsi, Ernesto Palidda
We propose an affine extension of the Linear Gaussian term structure Model (LGM) such that the instantaneous covariation of the factors is given by an affine process on semidefinit…
A Mean-Reverting SDE on Correlation matrices
Abdelkoddousse Ahdida, Aurélien Alfonsi
We introduce a mean-reverting SDE whose solution is naturally defined on the space of correlation matrices. This SDE can be seen as an extension of the well-known Wright-Fisher dif…
Exact and high order discretization schemes for Wishart processes and their affine extensions
Abdelkoddousse Ahdida, Aurélien Alfonsi
This work deals with the simulation of Wishart processes and affine diffusions on positive semidefinite matrices. To do so, we focus on the splitting of the infinitesimal generator…