Duffie, D. and Filipovic, D. and Schachermayer, Walter (2001) Affine processes and applications in finance. Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science", 81. SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, Vienna.
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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. (author's abstract)
| Item Type: | Paper |
|---|---|
| Keywords: | Zinsstruktur / Optionspreis / Risikomanagement / Zeitreihe / Feller-Prozess / Affine Ebene |
| Divisions: | Departments > Finance, Accounting and Statistics > Statistics and Mathematics Departments > Informationsverarbeitung u Prozessmanag. > Informationswirtschaft Departments > Informationsverarbeitung u Prozessmanag. > Produktionsmanagement > Taudes Departments > Marketing > Tourismus und Freizeitwirtschaft |
| Depositing User: | Repository Administrator |
| Date Deposited: | 16 Apr 2002 13:17 |
| Last Modified: | 26 Jan 2011 12:58 |
| WU Online Catalog: | http://onlinekatalog.wu.ac.at/F?func=find-b&reques... |
| URI: | http://epub.wu.ac.at/id/eprint/798 |
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