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Affine Processes

Author

Listed:
  • Damir Filipović

    (University of Vienna, and Vienna University of Economics and Business)

Abstract

We have seen in Sects. 5.3 and 9.3 above that an affine diffusion induces an affine term-structure. In this chapter, we discuss the class of affine processes in more detail. Their nice analytical properties make them favorite for a broad range of financial applications, including term-structure modeling, option pricing and credit risk modeling.

Suggested Citation

Handle: RePEc:spr:sprfcp:978-3-540-68015-4_10
DOI: 10.1007/978-3-540-68015-4_10
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