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ArticleAffine processes are regular

Martin Keller‐Ressel2010

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Articlebronze2010

Affine processes are regular

Martin Keller‐Ressel · Walter Schachermayer B · Josef Teichmann

68 citations·0/0 files stored·Probability Theory and Related Fields

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Probability and Risk Models

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References

2003Affine processes and applications in finance 2010MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS 2010Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity

Cited by

2016A general HJM framework for multiple yield curve modelling 2014Time-changed CIR default intensities with two-sided mean-reverting jumps 2018Affine multiple yield curve models 2014Stationarity and Ergodicity for an Affine Two-Factor Model 2010A characterization of the martingale property of exponentially affine processes 2016Geometric Asian option pricing in general affine stochastic volatility models with jumps 2009Affine Processes on Positive Semidefinite Matrices

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Year2010

Typearticle

Published2010-06-29

VenueProbability Theory and Related Fields

ISSN-L0178-8051

Languageen

Citations68

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00440-010-0309-4

openalex_workW1971007002

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