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Affine processes and applications in finance
Open accessAbstract
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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Cites
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Cited by
Arbitrage Theory in Continuous Time
Björk, T. (2004) · doi:10.1093/0199271267.001.0001 · Cited by 940
The risk premia embedded in index options
Andersen, T. G., Fusari, N., & Todorov, V. (2015) · Journal of Financial Economics · doi:10.1016/j.jfineco.2015.06.005 · Cited by 284
Metadata
- Authors
- Duffie, D., Filipović, D., & Schachermayer, W.
- Venue
- The Annals of Applied Probability
- Publisher
- Institute of Mathematical Statistics
- Published
- 2003-08-01
- Volume
- 13
- Issue
- 3
- Pages
- 984-1053
- ISSN
- 1050-5164 (ISSN-L)
- OpenAlex
- W2001244105
- Cited by
- 1,041
- References
- 50
- FWCI
- 51.89
- Type
- journal article
- Language
- en
- Open access
- bronze
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- Duffie, D., Filipović, D., & Schachermayer, W. (2003). Affine processes and applications in finance. The Annals of Applied Probability. https://doi.org/10.1214/aoap/1060202833
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
