Time-inhomogeneous affine processes

被引：52

作者：

Filipovic, D ^{[1
]}

机构：

[1] Univ Munich, Dept Math, D-80333 Munich, Germany

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2005年 / 115卷 / 04期

关键词：

affine processes; time-inhomogeneity;

D O I：

10.1016/j.spa.2004.11.006

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：

Affine processes are distinguished by their rich structural properties, which makes them favorite when it comes to computations in financial applications of all kind. This fact has been explored and illustrated for the time-homogeneous case in a recent paper by Duffie, Filipovic and Schachermayer. However, there are many situations which require time-dependent parameters, such as when it comes to model calibration. This paper provides a rigorous treatment and complete characterization of time-inhomogeneous affine processes. (c) 2004 Elsevier B.V. All rights reserved.

引用

页码：639 / 659

页数：21

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