{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,11,11]],"date-time":"2025-11-11T13:44:57Z","timestamp":1762868697486,"version":"3.44.0"},"reference-count":23,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2021,11,25]],"date-time":"2021-11-25T00:00:00Z","timestamp":1637798400000},"content-version":"vor","delay-in-days":328,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"DOI":"10.13039\/501100009157","name":"Jomo Kenyatta University of Agriculture and Technology","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100009157","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["International Journal of Mathematics and Mathematical Sciences"],"published-print":{"date-parts":[[2021,1]]},"abstract":"<jats:p>This article deals with Wishart process which is defined as matrix generalization of a squared Bessel process. We consider a single risky asset pricing model whose volatility is described by Wishart affine diffusion processes. The multifactor volatility specification enables this model to be flexible enough to describe the market prices for short or long maturities. The aim of the study is to derive the log\u2010asset returns dynamic under the double Wishart stochastic volatility model. The corrected Euler\u2013Maruyama discretization technique is applied in order to obtain the numerical solution of the log\u2010asset return dynamic under Bi\u2010Wishart processes. The numerical examples show the effect of the model parameters on the asset returns under the double Wishart volatility model.<\/jats:p>","DOI":"10.1155\/2021\/4050722","type":"journal-article","created":{"date-parts":[[2021,11,25]],"date-time":"2021-11-25T14:50:10Z","timestamp":1637851810000},"update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["The Log\u2010Asset Dynamic with Euler\u2013Maruyama Scheme under Wishart Processes"],"prefix":"10.1155","volume":"2021","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3671-0752","authenticated-orcid":false,"given":"Raphael","family":"Naryongo","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Philip","family":"Ngare","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Anthony","family":"Waititu","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2021,11,25]]},"reference":[{"key":"e_1_2_10_1_2","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_2_10_2_2","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_2_10_3_2","first-page":"1","article-title":"Affine diffusion processes: theory and applications","volume":"8","author":"Filipovic D.","year":"2009","journal-title":"Advanced Financial Modelling"},{"key":"e_1_2_10_4_2","doi-asserted-by":"publisher","DOI":"10.1080\/14697680701668418"},{"key":"e_1_2_10_5_2","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.1090.1065"},{"key":"e_1_2_10_6_2","doi-asserted-by":"publisher","DOI":"10.1214\/12-aap863"},{"key":"e_1_2_10_7_2","doi-asserted-by":"publisher","DOI":"10.1287\/opre.2017.1636"},{"key":"e_1_2_10_8_2","doi-asserted-by":"publisher","DOI":"10.1080\/07474930600713234"},{"key":"e_1_2_10_9_2","unstructured":"BenabidA. BensusanH. andEl KarouiN. 2008 Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework."},{"volume-title":"Exact Simulation of Wishart Multidimensional Stochastic Volatility Model","year":"2013","author":"Kang C.","key":"e_1_2_10_10_2"},{"key":"e_1_2_10_11_2","doi-asserted-by":"publisher","DOI":"10.1007\/bf01259552"},{"key":"e_1_2_10_12_2","article-title":"Wishart multi-dimensional stochastic volatility, to appear as: a multifactor volatility heston model\u2019 in quantitative finance","volume":"8","author":"Da Fonseca J.","year":"2005","journal-title":"Mimeo Ecole Sup\u00e9rieure d\u2019 Ing\u00e9nieurs L\u00e9onard de Vinci"},{"key":"e_1_2_10_13_2","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-319-05221-2"},{"key":"e_1_2_10_14_2","first-page":"1","article-title":"Derivative pricing with wishart multivariate stochastic volatility: application to credit risk","volume":"28","author":"Gourieroux C.","year":"2004","journal-title":"SSRN E-Library"},{"key":"e_1_2_10_15_2","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2018.1550265"},{"volume-title":"Arbitrage Theory in Continuous Time","year":"2009","author":"Bj\u00f6rk T.","key":"e_1_2_10_16_2"},{"key":"e_1_2_10_17_2","doi-asserted-by":"publisher","DOI":"10.1155\/2021\/7411885"},{"key":"e_1_2_10_18_2","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4757-4296-1"},{"key":"e_1_2_10_19_2","article-title":"On the convergence of euler maruyama method and milstein scheme for the solution of stochastic differential equations","volume":"1","author":"Fadugba S.","year":"2013","journal-title":"International Journal of Applied Mathematics and Modeling"},{"key":"e_1_2_10_20_2","doi-asserted-by":"publisher","DOI":"10.1098\/rspa.2011.0505"},{"key":"e_1_2_10_21_2","doi-asserted-by":"publisher","DOI":"10.1051\/ps:2007030"},{"key":"e_1_2_10_22_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.cam.2015.06.002"},{"key":"e_1_2_10_23_2","doi-asserted-by":"crossref","unstructured":"GauthierP.andPossama\u00efD. 2009 Efficient Simulation of the Wishart Model.","DOI":"10.2139\/ssrn.1474728"}],"container-title":["International Journal of Mathematics and Mathematical Sciences"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/downloads.hindawi.com\/journals\/ijmms\/2021\/4050722.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/ijmms\/2021\/4050722.xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1155\/2021\/4050722","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,9,4]],"date-time":"2025-09-04T12:44:47Z","timestamp":1756989887000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1155\/2021\/4050722"}},"subtitle":[],"editor":[{"given":"Remi","family":"L\u00e9andre","sequence":"additional","affiliation":[],"role":[{"role":"editor","vocabulary":"crossref"}]}],"short-title":[],"issued":{"date-parts":[[2021,1]]},"references-count":23,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2021,1]]}},"alternative-id":["10.1155\/2021\/4050722"],"URL":"https:\/\/doi.org\/10.1155\/2021\/4050722","archive":["Portico"],"relation":{},"ISSN":["0161-1712","1687-0425"],"issn-type":[{"type":"print","value":"0161-1712"},{"type":"electronic","value":"1687-0425"}],"subject":[],"published":{"date-parts":[[2021,1]]},"assertion":[{"value":"2021-08-27","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-10-28","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-11-25","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}],"article-number":"4050722"}}