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Affine Processes

  • Damir Filipović
Chapter
Part of the Springer Finance book series (FINANCE)

Abstract

We have seen in Sects. 5.3 and 9.3 above that an affine diffusion induces an affine term-structure. In this chapter, we discuss the class of affine processes in more detail. Their nice analytical properties make them favorite for a broad range of financial applications, including term-structure modeling, option pricing and credit risk modeling.

Keywords

Option Price Riccati Equation Implied Volatility Strike Price Diffusion Matrix 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.University of Vienna, and Vienna University of Economics and BusinessViennaAustria

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