Affine Processes on Positive Semidefinite Matrices

This paper provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. These matrix-valued affine processes have arisen from a large and growing range of useful applications 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

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Year of publication:	2011
Authors:	Cuchiero, Christa
Other Persons:	Filipović, Damir (contributor) ; Mayerhofer, Eberhard (contributor) ; Teichmann, Josef (contributor)
Publisher:	[2011]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (57 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 30, 2009 erstellt
Other identifiers:	10.2139/ssrn.1481151 [DOI]
Classification:	C60 - Mathematical Methods and Programming. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013134321