AFFINE PROCESSES ON POSITIVE SEMIDEFINITE MATRICES

被引：99

作者：

Cuchiero, Christa ^{[1
]}

Filipovic, Damir ^{[2
]}

Mayerhofer, Eberhard ^{[3
]}

Teichmann, Josef ^{[1
]}

机构：

[1] Swiss Fed Inst Technol, Dept Math, CH-8092 Zurich, Switzerland

[2] Ecole Polytech Fed Lausanne, Swiss Finance Inst, CH-1015 Lausanne, Switzerland

[3] Vienna Inst Finance, A-1190 Vienna, Austria

来源：

ANNALS OF APPLIED PROBABILITY | 2011年 / 21卷 / 02期

基金：

奥地利科学基金会;

关键词：

Affine processes; Wishart processes; stochastic volatility; stochastic invariance; INVARIANCE; VOLATILITY;

D O I：

10.1214/10-AAP710

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This 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.

引用

页码：397 / 463

页数：67

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