Affine Diffusion Processes: Theory and Applications

zbMath1205.91068arXiv0901.4003MaRDI QIDQ3656687

Eberhard Mayerhofer, Damir Filipović

Publication date: 13 January 2010

Full work available at URL: https://arxiv.org/abs/0901.4003

zbMATH Keywords

stochastic volatilitydiffusionsdifferential inequalitiesexponential momentsshort rate modelsRiccati differential equationsbond option pricingAffine processes

Mathematics Subject Classification ID

Related Items (27)

Quadratic hedging in affine stochastic volatility models ⋮ Forests, cumulants, martingales ⋮ Affine Diffusions with Non-Canonical State Space ⋮ Stationarity and Ergodicity for an Affine Two-Factor Model ⋮ Error bounds for the perturbation solution of the transition density under a multi-factor CIR term structure model with weak mean-reversion effect ⋮ Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes ⋮ Geometric ergodicity of affine processes on cones ⋮ Long-term factorization of affine pricing kernels ⋮ Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) ⋮ COHERENT FOREIGN EXCHANGE MARKET MODELS ⋮ On parameter estimation for critical affine processes ⋮ Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem ⋮ Affine processes on positive semidefinite \(d \times d\) matrices have jumps of finite variation in dimension \(d > 1\) ⋮ Pricing average options under time-changed Lévy processes ⋮ A characterization of Wishart processes and Wishart distributions ⋮ Stochastic invariance of closed sets with non-Lipschitz coefficients ⋮ Affine processes on positive semidefinite matrices ⋮ On strong solutions for positive definite jump diffusions ⋮ Linearized filtering of affine processes using stochastic Riccati equations ⋮ Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing ⋮ Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences ⋮ Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process ⋮ On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach ⋮ Existence of limiting distribution for affine processes ⋮ 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 ⋮ Exponential moments of affine processes

This page was built for publication: Affine Diffusion Processes: Theory and Applications