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research article

Affine Processes On Positive Semidefinite Matrices

Cuchiero, Christa
•
Filipovic, Damir  
•
Mayerhofer, Eberhard
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2011
Annals Of Applied Probability

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.

  • Details
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Type
research article
DOI
10.1214/10-AAP710
Web of Science ID

WOS:000289268100001

Author(s)
Cuchiero, Christa
Filipovic, Damir  
Mayerhofer, Eberhard
Teichmann, Josef
Date Issued

2011

Publisher

Institute of Mathematical Statistics

Published in
Annals Of Applied Probability
Volume

21

Start page

397

End page

463

Subjects

Affine processes

•

Wishart processes

•

stochastic volatility

•

stochastic invariance

•

Invariance

•

Volatility

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
CSF  
Available on Infoscience
December 16, 2011
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/74279
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