Affine diffusion processes: theory and applications
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Abstract: We revisit affine diffusion processes on general and on the canonical state space in particular. A detailed study of theoretic and applied aspects of this class of Markov processes is given. In particular, we derive admissibility conditions and provide a full proof of existence and uniqueness through stochastic invariance of the canonical state space. Existence of exponential moments and the full range of validity of the affine transform formula are established. This is applied to the pricing of bond and stock options, which is illustrated for the Vasicek, Cox-Ingersoll-Ross and Heston models.
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Cited in
(40)- Long-term factorization of affine pricing kernels
- A characterization of Wishart processes and Wishart distributions
- Affine processes with compact state space
- On parameter estimation for critical affine processes
- Functionals of multidimensional diffusions with applications to finance
- Stochastic invariance of closed sets with non-Lipschitz coefficients
- Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process
- Forests, cumulants, martingales
- Geometric ergodicity of affine processes on cones
- Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
- Infinite dimensional affine processes
- Affine Volterra processes
- Linearized filtering of affine processes using stochastic Riccati equations
- Affine processes beyond stochastic continuity
- Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences
- Exponential moments of affine processes
- Pricing average options under time-changed Lévy processes
- Affine diffusions and related processes: simulation, theory and applications
- Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes
- Affine realizations with affine state processes for stochastic partial differential equations
- Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
- Affine diffusions with non-canonical state space
- Coherent foreign exchange market models
- Affine processes on symmetric cones
- Stationarity and ergodicity for an affine two-factor model
- scientific article; zbMATH DE number 5635206 (Why is no real title available?)
- Large deviations for affine diffusion processes on R_+^m R^n
- Affine processes on positive semidefinite \(d \times d\) matrices have jumps of finite variation in dimension \(d > 1\)
- On the estimation of jump-diffusion models using intraday data: a filtering-based approach
- Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data
- Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
- Error bounds for the perturbation solution of the transition density under a multi-factor CIR term structure model with weak mean-reversion effect
- Moment explosions and stationary distributions in affine diffusion models
- Affine processes on positive semidefinite matrices
- On strong solutions for positive definite jump diffusions
- Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence
- Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
- Polynomial processes and their applications to mathematical finance
- Existence of limiting distribution for affine processes
- Quadratic hedging in affine stochastic volatility models
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