Affine Processes and Application 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.
Year of publication: |
2002-09
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Authors: | Duffie, Darrell ; Filipovic, D. ; Schachermayer, W. |
Institutions: | National Bureau of Economic Research (NBER) |
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