Affine processes and applications in finance

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.(...)

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Year of publication:	2001-12-01
Authors:	Duffie, D. ; Filipovic, D. ; Schachermayer, W.
Institutions:	Wirtschaftsuniversität <Wien>
Subject:	Risikomanagement \| risk management \| Finanzierungsrechnung \| capital finance account \| Optionspreis \| option pricing \| Zeitreihe \| Zinsstruktur \| Term structure model

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1. Introduction
1.1. Basic Notation
2. Definition and Characterization of Regular Affine Processes
2.1. Existence of Moments
3. Preliminary Results
4. A Representation Result for Regular Processes
5. The Mappings F(u) and R(u)
6. Generalized Riccati Equations
7. CxC (m;n)-Semiflows
8. Feller Property
9. Conservative Regular Affine Processes
10. Proof of the Main Results
10.1. Proof of Theorem 2.7
11. Discounting
11.1. The Feynman-Kac Formula
12. The Choice of the State Space
12.1. Degenerate Examples
13. Financial Applications
13.1. The Term Structure of Interest Rates
Appendix A. On the Regularity of Characteristic Functions
References

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