The Annals of Applied Probability

Affine processes and applications in finance

D. Duffie, D. Filipović, and W. Schachermayer

Full-text: Open access

Abstract

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.

Article information

Source
Ann. Appl. Probab. Volume 13, Number 3 (2003), 984-1053.

Dates
First available in Project Euclid: 6 August 2003

Permanent link to this document
http://projecteuclid.org/euclid.aoap/1060202833

Digital Object Identifier
doi:10.1214/aoap/1060202833

Mathematical Reviews number (MathSciNet)
MR1994043

Zentralblatt MATH identifier
1048.60059

Subjects
Primary: 60J25: Continuous-time Markov processes on general state spaces
Secondary: 91B28

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

Citation

Duffie, D.; Filipović, D.; Schachermayer, W. Affine processes and applications in finance. Ann. Appl. Probab. 13 (2003), no. 3, 984--1053. doi:10.1214/aoap/1060202833. http://projecteuclid.org/euclid.aoap/1060202833.


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