Affine processes on positive semidefinite matrices

Christa Cuchiero, Damir Filipovi\'c, Eberhard Mayerhofer and Josef Teichmann

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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.

Date: 2009-10, Revised 2011-04
New Economics Papers: this item is included in nep-ets
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Published in Annals of Applied Probability 2011, Vol. 21, No. 2, 397-463

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0910.0137

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