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Affine Diffusion Processes: Theory and Applications · Study

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PreprintAffine Diffusion Processes: Theory and Applications

Damir Filipović2009

OA

Preprintgreen2009

Affine Diffusion Processes: Theory and Applications

Damir Filipović · Eberhard Mayerhofer

71 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2007Brownian Motion and Stochastic Calculus 1983Stochastic Differential Equations and Diffusion Processes 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 2000Specification Analysis of Affine Term Structure Models 1988Brownian Motion and Stochastic Calculus 2001Interest Rate Models Theory and Practice

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2018Chebyshev interpolation for parametric option pricing 2014Stationarity and Ergodicity for an Affine Two-Factor Model 2018Optimal trade execution in order books with stochastic liquidity

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2009Affine diffusion processes: theory and applicationschapter · 15 shared references 2005Affine processes for dynamic mortality and actuarial valuationsarticle · 8 shared references 2007Option pricing when correlations are stochastic: an analytical frameworkarticle · 8 shared references 2008Econometric Asset Pricing Modellingarticle · 8 shared references 2010A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS*article · 8 shared references 2009Stochastic Volatilityother · 8 shared references

Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations71

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1333155

openalex_workW1663757356

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