Affine Diffusion Processes: Theory and Applications (Q3656687)

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Affine Diffusion Processes: Theory and Applications
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    author
    Damir Filipović
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    Eberhard Mayerhofer
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    publication date
    13 January 2010
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    Mathematics Subject Classification ID
    91B25
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    91G10
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    60J60
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    91B70
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    zbMATH DE Number
    5657860
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    zbMATH Keywords
    Affine processes
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    diffusions
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    bond option pricing
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    short rate models
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    stochastic volatility
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    Riccati differential equations
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    differential inequalities
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    exponential moments
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    arXiv classification
    math.PR
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    arXiv ID
    0901.4003
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