Transform analysis and asset pricing for affine jump-diffusions

In the setting of "affine" jump-diffusion state processes, this paper provi des an analytical treatment of a class of transforms, including various Lap lace and Fourier transforms as special cases, that allow an analytical trea tment of a range of valuation and econometric problems. Example application s include fixed-income pricing models, with a role for intensity-based mode ls of default, as well as a wide range of option-pricing applications. An i llustrative example examines the implications of stochastic volatility and jumps for option valuation. This example highlights the impact on option 's mirks' of the joint distribution of jumps in volatility and jumps in the un derlying asset price, through both jump amplitude as well as jump timing.