Affine processes and applications in finance

2024/01/18 by Duffie, D., Filipovic, D., Schachermayer, Walter

paper · doi:10.57938/aefd6eb8-c9df-4261-bacc-3f4c2d9e6954

Abstract

We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuous-state branching processes with immigration and Ornstein-Uhlenbeck type processes. We show, and provide foundations for, a wide range of financial applications for regular affine processes. (author's abstract)

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