Affine processes and applications in finance

D. Duffie; D. Filipović; W. Schachermayer

doi:10.1214/aoap/1060202833

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Home > Journals > Ann. Appl. Probab. > Volume 13 > Issue 3 > Article

August 2003 Affine processes and applications in finance

D. Duffie, D. Filipović, W. Schachermayer

Ann. Appl. Probab. 13(3): 984-1053 (August 2003). DOI: 10.1214/aoap/1060202833

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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.

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D. Duffie. D. Filipović. W. Schachermayer. "Affine processes and applications in finance." Ann. Appl. Probab. 13 (3) 984 - 1053, August 2003. https://doi.org/10.1214/aoap/1060202833

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Published: August 2003

First available in Project Euclid: 6 August 2003

zbMATH: 1048.60059

MathSciNet: MR1994043

Digital Object Identifier: 10.1214/aoap/1060202833

Subjects:

Primary: 60J25

Secondary: 91B28

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

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Ann. Appl. Probab.

Vol.13 • No. 3 • August 2003

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D. Duffie, D. Filipović, W. Schachermayer "Affine processes and applications in finance," The Annals of Applied Probability, Ann. Appl. Probab. 13(3), 984-1053, (August 2003)

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