Affine processes and applications in finance

2003/08/01 by Darrell Duffie, Damir Filipović, Walter Schachermayer · 10 citations
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Credit Risk and Financial Regulations #Financial Risk and Volatility Modeling

paper · pdf · doi:10.1214/aoap/1060202833

openalex publication_date 2003/08/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/01

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.

Citations

• Martingales and stochastic integrals in the theory of continuous trading
• The Pricing of Options and Corporate Liabilities
• Empirical Performance of Alternative Option Pricing Models
• Two Singular Diffusion Problems

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• Damir Filipović [wikipedia]