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The Heston Model and Multidimensional Affine Diffusions

  • Aurélien Alfonsi
Chapter
Part of the Bocconi & Springer Series book series (BS, volume 6)

Abstract

In Chap.  1, we have presented the real valued affine diffusions. Basically, these diffusions are either the Ornstein-Uhlenbeck process or the Cox-Ingersoll-Ross process. This chapter presents the general framework for affine diffusions in a multidimensional context. In the first section, we give the definition and the main properties of affine diffusions. Then, we present two examples of vector valued affine processes that are of practical use in finance.

Keywords

Order Scheme Infinitesimal Generator Euclidean Jordan Algebra Asian Option Call Price 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  • Aurélien Alfonsi
    • 1
  1. 1.CERMICSEcole Nationale des Ponts et ChausséesChamps-sur-MarneFrance

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