Affine processes on positive semidefinite matrices
Probability
2011-04-12 v3 Computational Finance
Abstract
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.
Keywords
Cite
@article{arxiv.0910.0137,
title = {Affine processes on positive semidefinite matrices},
author = {Christa Cuchiero and Damir Filipović and Eberhard Mayerhofer and Josef Teichmann},
journal= {arXiv preprint arXiv:0910.0137},
year = {2011}
}
Comments
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)