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.


Published in:
Annals Of Applied Probability, 21, 397-463
Year:
2011
Publisher:
Institute of Mathematical Statistics
ISSN:
1050-5164
Keywords:
Laboratories:




 Record created 2011-12-16, last modified 2018-03-17


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