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 language | English |
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Pages (from-to) | 397-463 |
Number of pages | 67 |
Journal | Annals of Applied Probability |
Volume | 21 |
Issue number | 2 |
DOIs | |
Publication status | Published - Apr 2011 |
Externally published | Yes |
Keywords
- Affine processes
- Stochastic invariance
- Stochastic volatility
- Wishart processes