Time-inhomogeneous affine processes

By Damir Filipovi'c. 2005

91 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4d07c62ffb2b02fd4c4462c36c93681075978101

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. St'ephane Cr'epey
2. Johannes Muhle‐Karbe
3. Tomasz R. Bielecki
4. Martino Grasselli
5. Jan Kallsen
6. Damiano Brigo
7. Ales Cerný
8. Darrell Duffie

In Finance

1. St'ephane Cr'epey
2. Damiano Brigo
3. Johannes Muhle‐Karbe
4. Tomasz R. Bielecki
5. Ales Cerný
6. Martino Grasselli
7. Jan Kallsen
8. Darrell Duffie

Citations in the corpus

• Counterparty Risk and Funding: A Tale of Two Puzzles (2014, background): “We say that a Markov process is affine if its conditional Laplace transform is given in exponential form (see Filipović (2005) for the general theory and Sect.”
• Credit risk modeling with affine processes (2007, background): “an equivalent martingale measure, Harrison and Kreps [1979] showed that the existence of an equivalent martingale measure is equivalent (up to technical conditions) to the absence of arbitrage.”
• SOLVABLE AFFINE TERM STRUCTURE MODELS (2007, methodology): “The problem of admissibility has been introduced by Duffie and Kan (1996), Dai and Singleton (2000), Duffie et al. (2003), and Filipović (2005); 3.”
• The fair value of guaranteed annuity options (2006, unknown): “They are thoroughly treated in Duffie, Filipovič and Schachermayer (2003) and Filipovič (2001).”
• Affine Processes on Positive Semidefinite Matrices (2009, unknown): “Time-inhomogeneous affine processes on R+ ×Rn have been explored in [18].”
• UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (2010, background): “Since α1 is considered to be deterministic, the processes (y,L (V (φ))), (y,L (V (φ)−p)) turn out to be time-inhomogeneous affine processes in the sense of [9].”
• Exponentially affine martingales, affine measure changes and exponential moments of affine processes (2010, background): “Our proof is based on the results of [9].”
• MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION (2008, methodology): “(Y 2, ln S) form a time-inhomogeneous conservative regular affine process under Q , and one can use the characterization of Filipović (2005) to evaluate their joint characteristic function.”
• Affine Processes for Dynamic Mortality and Actuarial Valuations (2005, unknown): “A thorough treatment of such processes is provided in Duffie, Filipovič and Schachermayer (2003) and Filipovič (2001).”