• Media type: E-Book
  • Title: Affine Processes on Positive Semidefinite Matrices
  • Contributor: Cuchiero, Christa [Author]; Filipović, Damir [Other]; Mayerhofer, Eberhard [Other]; Teichmann, Josef [Other]
  • imprint: [S.l.]: SSRN, [2011]
  • Extent: 1 Online-Ressource (57 p)
  • Language: English
  • DOI: 10.2139/ssrn.1481151
  • Identifier:
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 30, 2009 erstellt
  • Description: This paper provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. These matrix-valued affine processes have arisen from a large and growing range of useful applications 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
  • Access State: Open Access