Affine Processes on Positive Semidefinite Matrices
Copyright policy )Affine Processes on Positive Semidefinite Matrices
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.
Published in at http://dx.doi.org/10.1214/10-AAP710 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
- TU Wien Austria
- École Polytechnique Fédérale de Lausanne EPFL Switzerland
- University of Limerick Ireland
- WU Austria
- Swiss Finance Institute Switzerland
Affine processes, stochastic invariance, Stochastic models in economics, affine processes, Probability (math.PR), Wishart processes, Computational Finance (q-fin.CP), FOS: Economics and business, 91B70, Quantitative Finance - Computational Finance, 60J25, FOS: Mathematics, Continuous-time Markov processes on general state spaces, Jump processes, stochastic volatility, Mathematics - Probability, cone of positive semidefinite symmetric matrices
Affine processes, stochastic invariance, Stochastic models in economics, affine processes, Probability (math.PR), Wishart processes, Computational Finance (q-fin.CP), FOS: Economics and business, 91B70, Quantitative Finance - Computational Finance, 60J25, FOS: Mathematics, Continuous-time Markov processes on general state spaces, Jump processes, stochastic volatility, Mathematics - Probability, cone of positive semidefinite symmetric matrices
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