Affine processes on positive semidefinite matrices

Christa Cuchiero, Damir Filipović, Eberhard Mayerhofer, Josef Teichmann

Research output: Contribution to journalArticlepeer-review

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 matrixvalued 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.

Original languageEnglish
Pages (from-to)397-463
Number of pages67
JournalAnnals of Applied Probability
Volume21
Issue number2
DOIs
Publication statusPublished - Apr 2011
Externally publishedYes

Keywords

  • Affine processes
  • Stochastic invariance
  • Stochastic volatility
  • Wishart processes

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