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Affine Processes and Application in Finance

Author

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  • D. Duffie
  • D. Filipovic
  • W. Schachermayer

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

  • D. Duffie & D. Filipovic & W. Schachermayer, 2002. "Affine Processes and Application in Finance," NBER Technical Working Papers 0281, National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberte:0281 Note: TWP
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    References listed on IDEAS

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    Cited by:

    1. Sergei LevendorskiĬ, 2006. "Consistency conditions for affine term structure models," Annals of Finance, Springer, pages 207-224.
    2. Sergei Levendorskii, 2004. "Consistency conditions for affine term structure models," Econometric Society 2004 North American Winter Meetings 413, Econometric Society.
    3. Abel Elizalde, 2006. "Credit Risk Models I: Default Correlation In Intensity Models," Working Papers wp2006_0605, CEMFI.
    4. repec:wsi:ijtafx:v:07:y:2004:i:03:n:s0219024904002359 is not listed on IDEAS
    5. Massoud Heidari & Liuren Wu, 2002. "Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives," Finance 0207010, EconWPA, revised 10 Sep 2002.

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