Affine Processes and Application in Finance

D. Duffie, D. Filipovic, W. Schachermayer

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

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Year of publication:	September 2002
Authors:	Duffie, D.
Other Persons:	Filipovic, D. (contributor) ; Schachermayer, W. (contributor)
Institutions:	National Bureau of Economic Research (contributor)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Optionspreistheorie \| Option pricing theory \| Markov-Kette \| Markov chain \| Zinsstruktur \| Yield curve \| Kreditrisiko \| Credit risk \| Finanzmarkt \| Financial market

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Extent:	1 Online-Ressource
Series:	NBER technical working paper series ; no. t0281
Type of publication:	Book / Working Paper
Language:	English
Notes:	Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers.
Other identifiers:	10.3386/t0281 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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