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Affine processes and applications in finance

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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