Affine processes on positive semidefinite matrices
Cuchiero, Christa ; Filipović, Damir ; Mayerhofer, Eberhard ; Teichmann, Josef
Ann. Appl. Probab., Tome 21 (2011) no. 1, p. 397-463 / Harvested from Project Euclid
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This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and growing use of matrix-valued affine processes in finance, including multi-asset option pricing with stochastic volatility and correlation structures, and fixed-income models with stochastically correlated risk factors and default intensities.
Publié le : 2011-04-15
Classification:  Affine processes,  Wishart processes,  stochastic volatility,  stochastic invariance,  60J25,  91B70 
@article{1300800978,
     author = {Cuchiero, Christa and Filipovi\'c, Damir and Mayerhofer, Eberhard and Teichmann, Josef},
     title = {Affine processes on positive semidefinite matrices},
     journal = {Ann. Appl. Probab.},
     volume = {21},
     number = {1},
     year = {2011},
     pages = { 397-463},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1300800978}
}

Cuchiero, Christa; Filipović, Damir; Mayerhofer, Eberhard; Teichmann, Josef. Affine processes on positive semidefinite matrices. Ann. Appl. Probab., Tome 21 (2011) no. 1, pp.  397-463. http://gdmltest.u-ga.fr/item/1300800978/