Affine Processes and Applications in Finance

We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate branching processes with immigration and Ornstein-Uhlenbeck type processes. We show, and provide foundations for, a wide range of financial applications for regular affine processes.


Published in:
The Annals of Applied Probability, 13, 984-1053
Year:
2003
Laboratories:




 Record created 2010-04-25, last modified 2018-03-17

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