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Affine Processes and Application in Finance

Darrell Duffie, D. Filipovic and W. Schachermayer

No 281, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate branching processes with immigration and Ornstein-Uhlenbeck type processes. We show, and provide foundations for, a wide range of financial applications for regular affine processes.

New Economics Papers: this item is included in nep-fin and nep-fmk
Date: 2002-09
Note: TWP
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