Affine processes on positive semidefinite matrices

Citation
Cuchiero, Christa et al., Affine processes on positive semidefinite matrices, Annals of applied probability , 21(2), 2011, pp. 397-463
ISSN journal
10505164
Volume
21
Issue
2
Year of publication
2011
Pages
397 - 463
Database
ACNP
SICI code
Abstract
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.