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research article
Affine Processes On Positive Semidefinite Matrices
This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and growing use of matrix-valued affine processes in finance, including multi-asset option pricing with stochastic volatility and correlation structures, and fixed-income models with stochastically correlated risk factors and default intensities.
Type
research article
Web of Science ID
WOS:000289268100001
Authors
Publication date
2011
Publisher
Published in
Volume
21
Start page
397
End page
463
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
December 16, 2011
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