Abstract
We price derivatives defined for different asset classes with a full stochastic dependence structure. We consider jointly geometric Brownian motions and mean-reversion processes with a a stochastic variance-covariance matrix driven by a Wishart process. These models cannot be treated within the well-known affine class methods without any transformations. A non-linear transformation is used in order to obtain an equivalent affine model. We develop the necessary Laplace and Fast Fourier Theory for the semi-analytical pricing formula.
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