000148498 001__ 148498
000148498 005__ 20180317095041.0
000148498 0247_ $$2doi$$a10.1016/j.spa.2004.11.006
000148498 022__ $$a0304-4149
000148498 037__ $$aARTICLE
000148498 245__ $$aTime-Inhomogeneous Affine Processes
000148498 269__ $$a2005
000148498 260__ $$bElsevier$$c2005
000148498 336__ $$aJournal Articles
000148498 520__ $$aAffine processes are distinguished by their rich structural properties, which makes them favorite when it comes to computations in financial applications of all kind. This fact has been explored and illustrated for the time-homogeneous case in a recent paper by Duffie, Filipovic and Schachermayer. However, there are many situations which require time-dependent parameters, such as when it comes to model calibration. This paper provides a rigorous treatment and complete characterization of time-inhomogeneous affine processes
000148498 700__ $$0244285$$aFilipovic, Damir$$g196224
000148498 773__ $$j115$$q639-659$$tStochastic Processes and Their Applications
000148498 8564_ $$s254434$$uhttps://infoscience.epfl.ch/record/148498/files/Time-Inhomogeneous%20Affine%20Processes.pdf$$yn/a$$zn/a
000148498 909CO $$ooai:infoscience.tind.io:148498$$particle$$pCDM
000148498 909C0 $$0252280$$pCSF$$xU12115
000148498 917Z8 $$x193874
000148498 917Z8 $$x193874
000148498 937__ $$aEPFL-ARTICLE-148498
000148498 973__ $$aOTHER$$rREVIEWED$$sPUBLISHED
000148498 980__ $$aARTICLE