Affine Processes

Damir Filipović ()
Additional contact information
Damir Filipović: University of Vienna, and Vienna University of Economics and Business

Chapter Chapter 10 in Term-Structure Models, 2009, pp 143-195 from Springer

Abstract: Abstract We have seen in Sects. 5.3 and 9.3 above that an affine diffusion induces an affine term-structure. In this chapter, we discuss the class of affine processes in more detail. Their nice analytical properties make them favorite for a broad range of financial applications, including term-structure modeling, option pricing and credit risk modeling.

Keywords: Option Price; Riccati Equation; Implied Volatility; Strike Price; Diffusion Matrix (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-540-68015-4_10

Ordering information: This item can be ordered from
http://www.springer.com/9783540680154

DOI: 10.1007/978-3-540-68015-4_10

Access Statistics for this chapter

More chapters in Springer Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().