Affine Diffusion Processes: Theory and Applications
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Publication:3656687
zbMath1205.91068arXiv0901.4003MaRDI QIDQ3656687
Eberhard Mayerhofer, Damir Filipović
Publication date: 13 January 2010
Full work available at URL: https://arxiv.org/abs/0901.4003
stochastic volatility; diffusions; differential inequalities; exponential moments; short rate models; Riccati differential equations; bond option pricing; Affine processes
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