Affine processes and applications in finance

Authors
Duffie, D. Filipovi., D. Schachermayer, W.
Citation
D. Duffie, et al., Affine processes and applications in finance, Annals of applied probability , 13(3), 2003, pp. 984-1053
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
13
Issue
3
Year of publication
2003
Pages
984 - 1053
Database
ACNP
SICI code
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.