Density Approximations for Multivariate Affine Jump-Diffusion Processes

Damir Filipovi\'c, Eberhard Mayerhofer and Paul Schneider ()

Papers from arXiv.org

Abstract: We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess all polynomial moments. We establish parametric conditions which guarantee existence and differentiability of transition densities of affine models and show how they naturally fit into the approximation framework. Empirical applications in credit risk, likelihood inference, and option pricing highlight the usefulness of our expansions. The approximations are extremely fast to evaluate, and they perform very accurately and numerically stable.

Date: 2011-04, Revised 2011-10
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33) Track citations by RSS feed

Published in Journal of Econometrics,Volume 176, Issue 2, October 2013, Pages 93-111

Downloads: (external link)
http://arxiv.org/pdf/1104.5326 Latest version (application/pdf)

Related works:
Journal Article: Density approximations for multivariate affine jump-diffusion processes (2013)
Working Paper: Density Approximations For Multivariate Affine Jump-Diffusion Processes (2011)
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:arx:papers:1104.5326

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().