Affine and Polynomial Processes

Ernst Eberlein and Jan Kallsen
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Ernst Eberlein: University of Freiburg
Jan Kallsen: Kiel University

Chapter Chapter 6 in Mathematical Finance, 2019, pp 337-372 from Springer

Abstract: Abstract Affine processes appear here for two reasons. They are treated in this part on stochastic calculus because they solve linear or more generally affine martingale problems.

Date: 2019
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DOI: 10.1007/978-3-030-26106-1_6

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