AFFINE PROCESSES ON POSITIVE SEMIDEFINITE MATRICES

• 成果类型: Article
• 署名作者: Cuchiero, Christa; Filipovic, Damir; Mayerhofer, Eberhard; Teichmann, Josef
• 署名单位: Swiss Federal Institutes of Technology Domain; ETH Zurich; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI)
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/10-AAP710
• 发表日期: 2011
• 页码: 397-463
• 关键词: invariance; volatility

摘要

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.