Affine processes and applications in finance
Duffie, D. ; Filipović, D. ; Schachermayer, W.
Ann. Appl. Probab., Tome 13 (2003) no. 1, p. 984-1053 / Harvested from Project Euclid
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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.
Publié le : 2003-08-14
Classification:  Affine process,  characteristic function,  continuous-state branching with immigration,  default risk,  infinitely decomposable,  interest rates,  option pricing,  Ornstein-Uhlenbeck type,  60J25,  91B28 
@article{1060202833,
     author = {Duffie, D. and Filipovi\'c, D. and Schachermayer, W.},
     title = {Affine processes and applications in finance},
     journal = {Ann. Appl. Probab.},
     volume = {13},
     number = {1},
     year = {2003},
     pages = { 984-1053},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1060202833}
}

Duffie, D.; Filipović, D.; Schachermayer, W. Affine processes and applications in finance. Ann. Appl. Probab., Tome 13 (2003) no. 1, pp.  984-1053. http://gdmltest.u-ga.fr/item/1060202833/