Affine processes and applications in finance

被引：14

作者：

Duffie, D ^{[1
]}

Filipovic, D

Schachermayer, W

机构：

[1] Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA

[2] Vienna Univ Technol, Dept Financial & Actuarial Math, A-1040 Vienna, Austria

[3] Princeton Univ, Dept Operat Res & Financial Engn, Princeton, NJ 08544 USA

来源：

ANNALS OF APPLIED PROBABILITY | 2003年 / 13卷 / 03期

关键词：

affine process; characteristic function; continuous-state branching with immigration; default risk; infinitely decomposable; interest rates; option pricing; Ornstein-Uhlenbeck type;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuous-state 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.

引用

页码：984 / 1053

页数：70

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