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...
Affine Processes and Applications in Finance Darrell DuffieDamir FilipovićWalter Schachermayer Aug 2003 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-Uhlenb...
5.Affine and quadratic Markov processes and their applications in finance. and spring 机译:仿射和二次马尔可夫过程及其在金融中的应用。 Chen, Li. 2004 6.Lotka–Volterra approximations for evolutionary trait-substitution processes and spring 机译:进化特征替换过程的Lotka–Volterra近似 Hiroshi C. Ito...
摘要: We establish a central limit theorem and a large deviations principle for affine point processes, which are stochastic models of correlated event timing widely used in finance and ... 查看全部>>关键词: affine point process affine jump diffusion central limit theorem large deviations rare-...
Affine processes are very popular, due to their flexibility and high analytical tractability: While they enjoy all classical features of general Markov processes in continuous time (e.g., state-dependent diffusive and jump behavior), the Backward Kolmogorov PDEs simplify to non-linear ODEs for expon...
The default-risk applications include default correlation, particularly in first-to-default settings. The reader is assumed to have some background in financial modeling and stochastic calculus. 展开 关键词: credit risk affine processes default correlation first to default ...
We have seen in Sects. 5.3 and 9.3 above that an affine diffusion induces an affine term-structure. In this chapter, we discuss the class of affine processes in more detail. Their nice analytical properties make them favorite for a broad range of financial applications, including term-structu...
These processes generalize the cumulant of an infinitely divisible random ... J Kallsen,AN Shiryaev - 《Finance & Stochastics》 被引量: 407发表: 2002年 Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component Using martingale technique, we show that a ...
It focuses on different simulation schemes for these processes, especially second-order schemes for the weak error. It also presents some models, mostly in the field of finance, where these methods are relevant and provides some numerical experiments. The book explains the mathematical background to...
Applications of affine processes that are mentioned include survival analysis, dynamic term-structure models, and option pricing with stochastic volatility and jumps. The default-risk applications include default correlation, particularly in first-to-default settings. The reader is assumed to have some ...