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Affine Processes and Application in Finance / Darrel Duffie, Damir Filipović, Walter Schachermayer.
- Format:
- Book
- Author/Creator:
- Duffie, Darrel.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0281.
- NBER technical working paper series no. t0281
- Language:
- English
- Subjects (All):
- Affine algebraic groups.
- Finance--Mathematical models.
- Finance.
- Business mathematics.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2002.
- Cambridge, Mass. : National Bureau of Economic Research, 2002.
- Summary:
- We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate 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.
- Notes:
- Print version record
- September 2002.
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