正半定矩阵上的仿射过程

ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic) Pub Date : 2009-09-30 DOI:10.1214/10-AAP710

Christa Cuchiero, D. Filipović, E. Mayerhofer, J. Teichmann

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引用次数: 166

摘要

本文为正半定对称矩阵锥上的随机连续仿射过程提供了数学基础。这种分析的动机是在金融中越来越多地使用矩阵值仿射过程，包括具有随机波动率和相关结构的多资产期权定价，以及具有随机相关风险因素和违约强度的固定收益模型。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Affine Processes on Positive Semidefinite Matrices

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.

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ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)

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