2009/10/31 by Christa Cuchiero, Damir Filipović, Eberhard Mayerhofer +1 · 2 citations
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Credit Risk and Financial Regulations #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.PR #q-fin.CP
paper · pdf · doi:10.1214/10-aap710
published as Annals of Applied Probability 2011, Vol. 21, No. 2, 397-463 · Published in at http://dx.doi.org/10.1214/10-AAP710 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
openalex publication_date 2011/03/22 · arxiv created 2011/04/11 · arxiv updated 2011/04/12 · openalex created_date 2020/11/23 · openalex updated_date 2026/08/01
This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and growing use of matrix-valued affine processes in finance, including multi-asset option pricing with stochastic volatility and correlation structures, and fixed-income models with stochastically correlated risk factors and default intensities.