Affine Processes and Application in Finance

61 Pages Posted: 15 Sep 2002 Last revised: 10 Apr 2022

See all articles by Darrell Duffie

Darrell Duffie

Stanford University - Graduate School of Business; National Bureau of Economic Research (NBER); Canadian Derivatives Institute

D. Filipovic

affiliation not provided to SSRN

W. Schachermayer

University of Vienna

Date Written: September 2002

Abstract

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.

Suggested Citation

Duffie, James Darrell and Filipovic, D. and Schachermayer, W., Affine Processes and Application in Finance (September 2002). NBER Working Paper No. t0281, Available at SSRN: https://ssrn.com/abstract=330301

James Darrell Duffie (Contact Author)

Stanford University - Graduate School of Business ( email )

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National Bureau of Economic Research (NBER)

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Canadian Derivatives Institute ( email )

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Canada

D. Filipovic

affiliation not provided to SSRN

No Address Available

W. Schachermayer

University of Vienna

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