Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely:  derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral which extends the original approach of Bru (1991).  compare our methodology with the alternative results given by the variation of constants method, the linearization of the Matrix Riccati ODE’s and the Runge-Kutta algorithm. The new formula turns out to be fast, accurate and very useful for applications when dealing with stochastic volatility and stochastic correlation modelling.
['Alessandro Gnoatto', 'Martino Grasselli']
I am writing a research paper on a idea The explicit Laplace transform for the Wishart process
[{"from": "human", "value": "I am writing a research paper on a idea The explicit Laplace transform for the Wishart process"}, {"from": "gpt", "value": "Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely:  derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral which extends the original approach of Bru (1991).  compare our methodology with the alternative results given by the variation of constants method, the linearization of the Matrix Riccati ODE\u2019s and the Runge-Kutta algorithm. The new formula turns out to be fast, accurate and very useful for applications when dealing with stochastic volatility and stochastic correlation modelling."}]