articleThe Annals of Applied ProbabilityAug 1, 2003BRONZE OA

Affine processes and applications in finance

DDDarrell DuffieDFDamir FilipovićWSWalter Schachermayer

Stanford University · Princeton University · +1 more institution

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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.

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Topics & keywords

Topics
Keywords
  • Affine transformation
  • Mathematics
  • Branching (polymer chemistry)
  • Characterization (materials science)
  • Type (biology)
  • Branching process
  • Range (aeronautics)
  • Mathematical finance
UN Sustainable Development Goals
  • Reduced inequalities
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