Passer à la navigation principale Passer à la recherche Passer au contenu principal

Real Valued Affine Diffusions

  • Universit Bocconi
  • University of Technology Sydney
  • University of Padova

Résultats de recherche: Le chapitre dans un livre, un rapport, une anthologie ou une collectionChapitreRevue par des pairs

Résumé

This chapter gives a first contact with general affine diffusions by presenting the ones that take real values. We will see that these diffusions are basically of two types, and are either a Ornstein-Uhlenbeck process or a Cox-Ingersoll-Ross process. Thus, the two first sections of this chapter study these processes and present their main properties. The third section defines what are affine diffusions and characterize them by the mean of the infinitesimal generator. The last section is devoted to the application of these processes for the interest rate modelling. A quick introduction is given on the financial framework, and we present the main pricing formulas that have made the use of these processes popular.

langue originaleAnglais
titreBocconi and Springer Series
EditeurSpringer International Publishing
Pages1-36
Nombre de pages36
Les DOIs
étatPublié - 1 janv. 2015

Série de publications

NomBocconi and Springer Series
Volume6
ISSN (imprimé)2039-1471
ISSN (Electronique)2039-148X

Empreinte digitale

Examiner les sujets de recherche de « Real Valued Affine Diffusions ». Ensemble, ils forment une empreinte digitale unique.

Contient cette citation