Affine processes on positive semidefinite matrices
AbstractThis 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0910.0137.
Date of creation: Oct 2009
Date of revision: Apr 2011
Publication status: Published in Annals of Applied Probability 2011, Vol. 21, No. 2, 397-463
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